Use this URL to cite or link to this record in EThOS:
Title: Higher order neural networks for financial time series prediction
Author: Ghazali, Rozaida
ISNI:       0000 0001 3495 9066
Awarding Body: Liverpool John Moores University
Current Institution: Liverpool John Moores University
Date of Award: 2007
Availability of Full Text:
Access from EThOS:
Access from Institution:
Neural networks have been shown to be a promising tool for forecasting financial times series. Numerous research and applications of neural networks in business have proven their advantage in relation to classical methods that do not include artificial intelligence. What makes this particular use of neural networks so attractive to financial analysts and traders is the fact that governments and companies benefit from it to make decisions on investment and trading. However, when the number of inputs to the model and the number of training examples becomes extremely large, the training procedure for ordinary neural network architectures becomes tremendously slow and unduly tedious. To overcome such time-consuming operations, this research work focuses on using various Higher Order Neural Networks (HONNs) which have a single layer of learnable weights, therefore reducing the networks' complexity. In order to predict the upcoming trends of univariate financial time series signals, three HONNs models; the Pi-Sigma Neural Network, the Functional Link Neural Network, and the Ridge Polynomial Neural Network were used, as well as the Multilayer Perceptron. Furthermore, a novel neural network architecture which comprises of a feedback connection in addition to the feedforward Ridge Polynomial Neural Network was constructed. The proposed network combines the properties of both higher order and recurrent neural networks, and is called Dynamic Ridge Polynomial Neural Network (DRPNN). Extensive simulations covering ten financial time series were performed. The forecasting performance of various feedforward HONNs models, the Multilayer Perceptron and the novel DRPNN was compared. Simulation results indicate that HONNs, particularly the DRPNN in most cases demonstrated advantages in capturing chaotic movement in the financial signals with an improvement in the profit return over other network models. The relative superiority of DRPNN to other networks is not just its ability to attain high profit return, but rather to model the training set with fast learning and convergence. The network offers fast training and shows considerable promise as a forecasting tool. It is concluded that DRPNN do have the capability to forecast the financial markets, and individual investor could benefit from the use of this forecasting.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
Keywords: HF5001 Business ; HG Finance ; QA75 Electronic computers. Computer science