Forecasting financial time series using a low complexity recurrent neural network and evolutionary learning approach

By Ajit Kumar Rout, Pradipta Kishore Dash, Rajashree Dash, Ranjeeta Bisoi. 2015

109 citations recorded by the source corpus.

The paper presents a low complexity recurrent Functional Link Artificial Neural Network for predicting the financial time series data like the stock market indices over a time frame varying from 1 day ahead to 1 month ahead. Although different types of basis functions have been used for low complexity neural networks earlier for stock market prediction, a comparative study is needed to choose the optimal combinations of these for a reasonably accurate forecast. Further several evolutionary learning methods like the Particle Swarm Optimization (PSO) and modified version of its new variant (HMRPSO), and the Differential Evolution (DE) are adopted here to find the optimal weights for the recurrent computationally efficient functional link neural network (RCEFLANN) using a combination of linear and hyperbolic tangent basis functions. The performance of the recurrent computationally efficient FLANN model is compared with that of low complexity neural networks using the Trigonometric, Chebyshev, Laguerre, Legendre, and tangent hyperbolic basis functions in predicting stock prices of Bombay Stock Exchange data and Standard & Poor’s 500 data sets using different evolutionary methods and has been presented in this paper and the results clearly reveal that the recurrent FLANN model trained with the DE outperforms all other FLANN models similarly trained.

Subfields: Artificial Intelligence, Management Science and Operations Research, Economics & Operations Research, Time-Series & Forecasting

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Omer Berat Sezer
2. M. Ugur Gudelek
3. A. Ozbayoglu

In Management Science and Operations Research

1. M. Ugur Gudelek
2. Omer Berat Sezer
3. A. Ozbayoglu
4. Weiwei Jiang
5. Longbing Cao

In Economics & Operations Research

1. A. Ozbayoglu
2. M. Ugur Gudelek
3. Omer Berat Sezer

In Time-Series & Forecasting

1. M. Ugur Gudelek
2. Omer Berat Sezer
3. A. Ozbayoglu
4. Weiwei Jiang
5. Longbing Cao

Citations in the corpus

• Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019 (2019, methodology): “The authors of [130] used RNN models, Recurrent Computationally Efficient Functional Link Neural Network (RCEFLANN) and Functional Link Neural network (FLANN), with their weights optimized using various EA like Particle Swarm Optimization (PSO), HMRPSO and PSO for time series forecasting.”