Abstract
A novel type of recurrent neural network, the regularized Dynamic Self Organised Neural Network Inspired by the Immune Algorithm, is presented. The Regularization technique is used with the Dynamic self-organized multilayer perceptrons network that is inspired by the immune algorithm. The regularization has been addressed to improve the generalization and to solve the over-fitting problem. The results of an average 30 simulations generated from ten stationary signals are demonstrates. The results of the proposed network were compared with the regularized multilayer neural networks and the regularized self organized neural network inspired by the immune algorithm. The simulation results indicated that the proposed network showed better values in terms of the annualized return in comparison to the benchmarked networks.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Kamruzzaman, J.: ANN-Based Forecasting of Foreign Currency Exchange Rates. Neural Information Processing - Letters and Reviews 3(2), 49–58 (2004)
Espinoza, R., Lombardi, M.J., Fornari, F.: The role of financial variableS in PredicTing economic activity. ECB Working Paper Series, vol. (1108). Frankfurt am Main, Germany (2009)
Leondes, C.T.: Intelligent Knowledge-Based Systems: Business and Technology in the New Millennium illustrate. Springer (2010)
Kamruzzaman, J., Sarker, R.: Forecasting of currency exchange rates using ANN: a case study. In: Proceedings of the 2003 International Conference on Neural Networks and Signal Processing, vol. 1, pp. 793–797. IEEE, Nanjing (2003)
Krollner, B.: Risk Management in the Australian Stockmarket using Artificial Neural networks, PhD Thesis (2011)
Tan, T.Z., Quek, C., Ng, G.S.: Brain-inspired Genetic Complementary Learning for Stock Market Prediction. In: IEEE Congress on Evolutionary Computation, vol. 3, pp. 2653–2660 (2005)
Ahmadifard, M., Sadenejad, F., Mohammadi, I., Aramesh, K.: Forecasting stock market return using ANFIS: the case of Tehran Stock Exchange. International Journal of Advanced Studies in Humanities and Social Science 1(5), 452–459 (2013)
Mahdi, A.: The Application of Neural Network inFinancial Time Series Analysis and Prediction Using Immune System. Liverpool John Moores University (2010)
Mahdi, A., Hussain, A., Al-Jumeily, D.: The Prediction of Non-Stationary Physical Time Series Using the Application of Regularization Technique in Self-organised Multilayer Perceptrons Inspired by the Immune Algorithm. E-systems Eng., 213–218 (September 2010)
Jordan, M.I.: Attractor dynamics and parallelism in a connectionist sequential machine. In: Artificial Neural Networks, NJ, USA, pp. 112–127. IEEE Press, Piscataway (1990)
Voegtlin, T.: Recursive self-organizing maps. Neural Netw. 15(8-9), 79–91 (2002)
Widyanto, M.R., Nobuhara, H., Kawamoto, K., Hirota, K., Kusumoputro, B.: Improving recognition and generalization capability of back-propagation NN using self-organized network inspired by immune algorithm. Appl. Soft Comput. 6, 72–84 (2005)
Bishop, C.M.: Neural Networks for Pattern Recognition, Cambridge, UK (1995)
Thomason, M.: The practitioner method and tools. J. Comput. Intell. Financ. 7(3), 36–45 (1999)
Cao, L.J., Tay, F.E.H.: Financial Time Series Forecasting. IEEE Trans. Neural Networks 14(6), 1506–1518 (2003)
Dunis, C.L., Williams, M.: Applications of Advanced Regression Analysis for Trading and Investment. John Wiley & Sons, Ltd. (2003)
Cao, L.J., Tay, F.E.H.: Support Vector Machine with Adaptive Parameters in Financial time Series Forecasting. IEEE Trans. Neural Networks 14(6), 1506–1518 (2003)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this paper
Cite this paper
Al-Askar, H., Hussain, A.J., Al-Jumeily, D., Radi, N. (2014). Regularized Dynamic Self Organized Neural Network Inspired by the Immune Algorithm for Financial Time Series Prediction. In: Huang, DS., Han, K., Gromiha, M. (eds) Intelligent Computing in Bioinformatics. ICIC 2014. Lecture Notes in Computer Science(), vol 8590. Springer, Cham. https://doi.org/10.1007/978-3-319-09330-7_8
Download citation
DOI: https://doi.org/10.1007/978-3-319-09330-7_8
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-09329-1
Online ISBN: 978-3-319-09330-7
eBook Packages: Computer ScienceComputer Science (R0)