Prediction of the Bombay Stock Exchange (BSE) Market Returns Using Artificial Neural Network and Genetic Algorithm

Stock Market is the market for security where organized issuance and trading of Stocks take place either through exchange or over the counter in electronic or physical form. It plays an important role in canalizing capital from the investors to the business houses, which consequently leads to the availability of funds for business expansion. In this paper, we investigate to predict the daily excess returns of Bombay Stock Exchange (BSE) indices over the respective Treasury bill rate returns. Initially, we prove that the excess return time series do not fluctuate randomly. We are applying the prediction models of Autoregressive feed forward Artificial Neural Networks (ANN) to predict the excess return time series using lagged value. For the Artificial Neural Networks model using a Genetic Algorithm is constructed to choose the optimal topology. This paper examines the feasibility of the prediction task and provides evidence that the markets are not fluctuating randomly and finally, to apply the most suitable prediction model and measure their efficiency.

Short‐time wind speed prediction based on Legendre multi‐wavelet neural network

As one of the most widespread renewable energy sources,wind energy is now an important part of the power system.Accurate and appropriate wind speed forecasting has an essential impact on wind energy utilisation.However,due to the stochastic and un-certain nature of wind energy,more accurate forecasting is necessary for its more stable and safer utilisation.This paper proposes a Legendre multiwavelet‐based neural network model for non‐linear wind speed prediction.It combines the excellent properties of Legendre multi‐wavelets with the self‐learning capability of neural networks,which has rigorous mathematical theory support.It learns input‐output data pairs and shares weights within divided subintervals,which can greatly reduce computing costs.We explore the effectiveness of Legendre multi‐wavelets as an activation function.Mean-while,it is successfully being applied to wind speed prediction.In addition,the appli-cation of Legendre multi‐wavelet neural networks in a hybrid model in decomposition‐reconstruction mode to wind speed prediction problems is also discussed.Numerical results on real data sets show that the proposed model is able to achieve optimal per-formance and high prediction accuracy.In particular,the model shows a more stable performance in multi‐step prediction,illustrating its superiority.

TIMESERIES PREDICTION MODEL CONSISTING OF ARTIFICIAL NEURAL NETWORK AND GENETIC ALGORITHM

The paper introduces the basic concept and flow diagram of genetic algorithm (GA) and the merits and demerits of artificial neural network (ANN) as a timeseries prediction model and thereupon developed is a new model with ANN and GA in combination. Eventually, calculations are presented with the results and model examined.

Design of artificial neural networks using a genetic algorithm to predict saturates of vacuum gas oil

Accurate prediction of chemical composition of vacuum gas oil （VGO） is essential for the routine operation of refineries. In this work, a new approach for auto-design of artificial neural networks （ANN） based on a genetic algorithm （GA） is developed for predicting VGO saturates. The number of neurons in the hidden layer, the momentum and the learning rates are determined by using the genetic algorithm. The inputs for the artificial neural networks model are five physical properties, namely, average boiling point, density, molecular weight, viscosity and refractive index. It is verified that the genetic algorithm could find the optimal structural parameters and training parameters of ANN. In addition, an artificial neural networks model based on a genetic algorithm was tested and the results indicated that the VGO saturates can be efficiently predicted. Compared with conventional artificial neural networks models, this approach can improve the prediction accuracy.

Time series prediction using wavelet process neural network

In the real world, the inputs of many complicated systems are time-varying functions or processes. In order to predict the outputs of these systems with high speed and accuracy, this paper proposes a time series prediction model based on the wavelet process neural network, and develops the corresponding learning algorithm based on the expansion of the orthogonal basis functions. The effectiveness of the proposed time series prediction model and its learning algorithm is proved by the Macke-Glass time series prediction, and the comparative prediction results indicate that the proposed time series prediction model based on the wavelet process neural network seems to perform well and appears suitable for using as a good tool to predict the highly complex nonlinear time series.

Recovery and grade prediction of pilot plant flotation column concentrate by a hybrid neural genetic algorithm

Today flotation column has become an acceptable means of froth flotation for a fairly broad range of applications, in particular the cleaning of sulfides. Even after having been used for several years in mineral processing plants, the full potential of the flotation column process is still not fully exploited. There is no prediction of process performance for the complete use of available control capabilities. The on-line estimation of grade usually requires a significant amount of work in maintenance and calibration of on-stream analyzers, in order to maintain good accuracy and high availability. These difficulties and the high cost of investment and maintenance of these devices have encouraged the approach of prediction of metal grade and recovery. In this paper, a new approach has been proposed for metallurgical performance prediction in flotation columns using Artificial Neural Network (ANN). Despite of the wide range of applications and flexibility of NNs, there is still no general framework or procedure through which the appropriate network for a specific task can be designed. Design and structural optimization of NNs is still strongly dependent upon the designer's experience. To mitigate this problem, a new method for the auto-design of NNs was used, based on Genetic Algorithm (GA). The new proposed method was evaluated by a case study in pilot plant flotation column at Sarcheshmeh copper plant. The chemical reagents dosage, froth height, air, wash water flow rates, gas holdup, Cu grade in the rougher feed, flotation column feed, column tail and final concentrate streams were used to the simulation by GANN. In this work, multi-layer NNs with Back Propagation (BP) algorithm with 8-17-10-2 and 8- 13-6-2 arrangements have been applied to predict the Cu and Mo grades and recoveries, respectively. The correlation coefficient (R) values for the testing sets for Cu and Mo grades were 0.93, 0.94 and for their recoveries were 0.93, 0.92, respectively. The results discussed in this paper indicate that the proposed model can be used to predict the Cu and Mo grades and recoveries with a reasonable error.

Network Security Incidents Frequency Prediction Based on Improved Genetic Algorithm and LSSVM

Since the frequency of network security incidents is nonlinear,traditional prediction methods such as ARMA,Gray systems are difficult to deal with the problem.When the size of sample is small,methods based on artificial neural network may not reach a high degree of preciseness.Least Squares Support Vector Machines (LSSVM) is a kind of machine learning methods based on the statistics learning theory,it can be applied to solve small sample and non-linear problems very well.This paper applied LSSVM to predict the occur frequency of network security incidents.To improve the accuracy,it used an improved genetic algorithm to optimize the parameters of LSSVM.Verified by real data sets,the improved genetic algorithm (IGA) converges faster than the simple genetic algorithm (SGA),and has a higher efficiency in the optimization procedure.Specially,the optimized LSSVM model worked very well on the prediction of frequency of network security incidents.

Modeling the Nigerian Bonny Light Crude Oil Price: The Power of Fuzzy Time Series

Several authors have used different classical statistical models to fit the Nigerian Bonny Light crude oil price but the application of machine learning models and Fuzzy Time Series model on the crude oil price has been grossly understudied. Therefore, in this study, a classical statistical model—Autoregressive Integrated Moving Average (ARIMA), two machine learning models—Artificial Neural Network (ANN) and Random Forest (RF) and Fuzzy Time Series (FTS) Model were compared in modeling the Nigerian Bonny Light crude oil price data for the periods from January, 2006 to December, 2020. The monthly secondary data were collected from the Nigerian National Petroleum Corporation (NNPC) and Reuters website and divided into train (70%) and test (30%) sets. The train set was used in building the models and the models were validated using the test set. The performance measures used for the comparison include: The modified Diebold-Mariano test, the Root Mean Square Error (RMSE), the Mean Absolute Percentage Error (MAPE) and Nash-Sutcliffe Efficiency (NSE) values. Based on the performance measures, ANN (4, 1, 1) and RF performed better than ARIMA (1, 1, 0) model but FTS model using Chen’s algorithm outperformed every other model. The results recommend the use of FTS model for forecasting future values of the Nigerian Bonny Light Crude oil. However, a hybrid model of ARIMA-ANN or ARIMA-RF should be built and compared with Chen’s algorithm FTS model for the same data set to further verify the power of FTS model using Chen’s algorithm.

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.

Combined ANN prediction model for failure depth of coal seam floors

Failure depth of coal seam floors is one of the important considerations that must be kept in mind when mining is carried out above a confined aquifer. In order to study the factors that affect the failure depth of coal seam floors such as mining depth, coal seam pitch, mining thickness, workface length and faults, we propose a combined artificial neural networks (ANN) prediction model for failure depth of coal seam floors on the basis of existing engineering data by using genetic algorithms to train the ANN. A practical engineering application at the Taoyuan Coal Mine indicates that this method can effectively determine the network struc- ture and training parameters, with the predicted results agreeing with practical measurements. Therefore, this method can be applied to relevant engineering projects with satisfactory results.

A Hybrid Neural Network-based Approach for Forecasting Water Demand

Water is a vital resource.It supports a multitude of industries,civilizations,and agriculture.However,climatic conditions impact water availability,particularly in desert areas where the temperature is high,and rain is scarce.Therefore,it is crucial to forecast water demand to provide it to sectors either on regular or emergency days.The study aims to develop an accurate model to forecast daily water demand under the impact of climatic conditions.This forecasting is known as a multivariate time series because it uses both the historical data of water demand and climatic conditions to forecast the future.Focusing on the collected data of Jeddah city,Saudi Arabia in the period between 2004 and 2018,we develop a hybrid approach that uses Artificial Neural Networks(ANN)for forecasting and Particle Swarm Optimization algorithm(PSO)for tuning ANNs’hyperparameters.Based on the Root Mean Square Error(RMSE)metric,results show that the(PSO-ANN)is an accurate model for multivariate time series forecasting.Also,the first day is the most difficult day for prediction(highest error rate),while the second day is the easiest to predict(lowest error rate).Finally,correlation analysis shows that the dew point is the most climatic factor affecting water demand.

罗汉果籽吸附氟离子效果的不同预测模型研究

目的建立不同罗汉果籽吸附氟离子预测模型。方法以吸附量为评价指标,筛选影响吸附效果的因素。在单因素的基础上,通过响应面法(response surface methodology,RSM)优化吸附温度、接触时间、吸附剂投加量、氟离子初始质量浓度和溶液pH。以吸附温度、接触时间、吸附剂投加量、氟离子初始质量浓度和溶液pH作为输入参数构建基于反向传播人工神经网络(back propagation artificial neural network,BP-ANN)的吸附量预测模型。根据模型在预测集上的表现确定具体的输入参数,将优化隐含层神经元数的BP-ANN与其他学习模型[遗传算法(genetic algorithm,GA)]优化的模型对比。结果通过两种模型的决定系数(coefficient of determination,R^(2))、平均绝对误差(mean absolute error,MAE)、均方误差(mean square error,MSE)、均方根误差(root mean square error,RMSE)、平均绝对百分比误差(mean absolute percentage error,MAPE)值比较,得出GA-BP-ANN预测模型(R^(2)=0.92594)的预测效果较优于BP-ANN(R^(2)=0.88498)。结论相较于BP-ANN预测模型,经过优化后的GA-BP-ANN预测模型对吸附量的预测精度更高。GA-BP-ANN预测模型可为罗汉果籽吸附氟离子效果提供技术参考,去除水中氟离子效果较好。

基于QPSO改进LSTM发动机怠速预测的FPID控制

以北京现代伊兰特G4GD发动机为试验台,将电控系统故障作为实验变量,测得规定时间内双传感器组合发生故障时的发动机怠速,并选原车ECU较难控制的6种组合怠速故障进行分析。基于量子粒子群算法(QPSO)对长短时记忆神经网络(LSTM)隐含层节点、训练次数与学习率进行寻优预测,将预测结果与多种神经网络进行对比,并通过均方根误差(RMSE)评价指标进行判断。使用Origin数据拟合将预测输出结果进行数值拟合,之后输入Matlab中使用Simulink搭建控制单元模型,由模糊常量-积分-微分(FPID)控制器对输出结果进行怠速控制。结果表明:基于量子粒子群算法改进的长短时记忆神经网络预测效果最好;模糊常量-积分-微分控制器对怠速的控制可有效缩短电子控制单元(ECU)的控制时间,无超调,且可有效调节至规定怠速。

基于多参数时间序列及粒子群优化算法的油藏产量动态建模预测方法

在油田开发过程中,油藏产量预测方法的研究对开发方案的动态调整具有重要意义。针对利用机器学习算法进行油藏产量预测过程中,因缺乏考虑时间序列模型的参数调整优化技术,以及新数据叠加进行预测模型动态更新技术,导致产量预测的准确率不高且时效性不强,难以满足实际生产应用需求等问题,研究了基于长短期记忆神经网络模型的多参数时间序列预测方法及粒子群参数优化算法,构建了随时间动态更新的油藏产量预测模型,从而进一步提升油藏产量预测的准确率与实用性,并在长庆油田多个油藏的生产过程中进行了应用。应用结果表明,模型预测结果的准确率较高,且模型具有实时训练和自动更新的特点,在实际生产中展现出了较高的应用价值。

基于BP神经网络算法和时间序列模型的气温预测方法

基于2022年亚太杯数学建模竞赛中关于全球气候变化问题的第一问展开研究,使用BP神经网络算法和时间序列模型预测未来全球气温达到20℃的年限,并对预测结果进行检验,结果表明时间序列模型预测精度更高。

基于生长神经气改进模糊神经网络的铝电解过程时序数据预测

针对传统预测模型因分析铝厂时序数据时历史数据量大而无法快速挖掘实时数据隐含的知识信息,导致预测效率低的问题,提出一种基于生长神经气改进模糊神经网络(GNG-ANFIS)全局高效的时序混合预测模型。该模型首先利用生长神经气动态跟踪采集到的时序数据来识别数据奇异点,进而筛选有效数据;然后利用改进后的黑猩猩算法对传统模糊神经网络进行优化;最后,结合铝电解生产过程中铝液杂质铁含量时序数据验证该模型的性能。实验结果表明,混合模型在减少训练时间的情况下仍能准确预测铁含量时序数据,验证了其可行性。

基于GA-BP神经网络的矿井粉尘浓度预测

为准确预测矿井粉尘浓度,有效防治矿井粉尘危害,运用遗传算法优化的BP神经网络预测模型(GA-BP模型)对某矿山工作面时间序列粉尘浓度进行预测,以预测结果的相对误差、平均绝对百分比误差来评判模型的预测准确性。再利用BP神经网络预测模型、卷积神经网络预测模型(CNN模型)的预测结果同GA-BP预测模型的预测结果进行对比验证,以均方根误差来评价三种模型的预测效果。结果表明,应用GA-BP预测模型,相对误差最大为4.27%,最小为0.14%,相对误差都在10%以内,预测样本的平均绝对百分比误差(MAPE)小于10%,达到了高精度预测要求。CNN、BP、GA-BP三种预测模型的RMSE值分别为1.1007、1.0008、0.9354,GA-BP预测模型对于该矿山工作面粉尘浓度预测效果最好。实现了利用GA-BP神经网络预测模型对只有单一时间影响因素且样本数量较少条件下的矿井粉尘浓度预测。

遗传算法误差反向传播人工神经网络预测阿立哌唑血药浓度

目的构建基于遗传算法误差反向传播(GA-BP)人工神经网络的阿立哌唑(APZ)及其代谢产物脱氢阿立哌唑(DAPZ)血药浓度预测模型,为需要调整APZ使用剂量或不能进行APZ血药浓度监测的患者提供浓度预测模型。方法回顾性收集在2021年7月—2022年8月新疆维吾尔自治区人民医院就诊且规律服用APZ的174例患者的血药浓度资料,提取相关变量,采用Matlab R2018a编程软件,结合深度学习网络构建GA-BP人工神经网络预测模型,预测APZ+DAPZ血药浓度。结果GA-BP人工神经网络预测模型验证结果显示,35例验证组样本的预测结果与实测结果相比,平均预测误差为-0.0926,平均绝对误差为0.6895,35个预测误差均小于15%,小于15%的概率为100%,血药浓度的预测值与实测值之间的相关系数为0.997,预测结果较理想。结论GA-BP人工神经网络预测模型预测APZ+DAPZ血药浓度,可用于APZ的个体化给药。