Estimating stock closing indices using a GA-weighted condensed polynomial neural network

Accurate forecasting of changes in stock market indices can provide financial managers and individual investors with strategically valuable information.However,predicting the closing prices of stock indices remains a challenging task because stock price movements are characterized by high volatility and nonlinearity.This paper proposes a novel condensed polynomial neural network(CPNN)for the task of forecasting stock closing price indices.We developed a model that uses partial descriptions(PDs)and is limited to only two layers for the PNN architecture.The outputs of these PDs along with the original features are fed to a single output neuron,and the synaptic weight values and biases of the CPNN are optimized by a genetic algorithm.The proposed model was evaluated by predicting the next day’s closing price of five fast-growing stock indices:the BSE,DJIA,NASDAQ,FTSE,and TAIEX.In comparative testing,the proposed model proved its ability to provide closing price predictions with superior accuracy.Further,the Deibold-Mariano test justified the statistical significance of the model,establishing that this approach can be adopted as a competent financial forecasting tool.

Extreme learning with chemical reaction optimization for stock volatility prediction

Extreme learning machine(ELM)allows for fast learning and better generalization performance than conventional gradient-based learning.However,the possible inclusion of non-optimal weight and bias due to random selection and the need for more hidden neurons adversely influence network usability.Further,choosing the optimal number of hidden nodes for a network usually requires intensive human intervention,which may lead to an ill-conditioned situation.In this context,chemical reaction optimization(CRO)is a meta-heuristic paradigm with increased success in a large number of application areas.It is characterized by faster convergence capability and requires fewer tunable parameters.This study develops a learning framework combining the advantages of ELM and CRO,called extreme learning with chemical reaction optimization(ELCRO).ELCRO simultaneously optimizes the weight and bias vector and number of hidden neurons of a single layer feed-forward neural network without compromising prediction accuracy.We evaluate its performance by predicting the daily volatility and closing prices of BSE indices.Additionally,its performance is compared with three other similarly developed models—ELM based on particle swarm optimization,genetic algorithm,and gradient descent—and find the performance of the proposed algorithm superior.Wilcoxon signed-rank and Diebold–Mariano tests are then conducted to verify the statistical significance of the proposed model.Hence,this model can be used as a promising tool for financial forecasting.

A chemical-reaction-optimization-based neuro-fuzzy hybrid network for stock closing price prediction

Accurate prediction of stock market behavior is a challenging issue for financial forecasting.Artificial neural networks,such as multilayer perceptron have been established as better approximation and classification models for this domain.This study proposes a chemical reaction optimization(CRO)based neuro-fuzzy network model for prediction of stock indices.The input vectors to the model are fuzzified by applying a Gaussian membership function,and each input is associated with a degree of membership to different classes.A multilayer perceptron with one hidden layer is used as the base model and CRO is used to the optimal weights and biases of this model.CRO was chosen because it requires fewer control parameters and has a faster convergence rate.Five statistical parameters are used to evaluate the performance of the model,and the model is validated by forecasting the daily closing indices for five major stock markets.The performance of the proposed model is compared with four state-of-art models that are trained similarly and was found to be superior.We conducted the Deibold-Mariano test to check the statistical significance of the proposed model,and it was found to be significant.This model can be used as a promising tool for financial forecasting.