City Research Online

Abstract

In this study, we propose and compare neural network models that use unsupervised layers for the prediction of financial time series. We compare the novel FL-RBM and FL-SMIA-RMB models that integrate a Restricted Boltzmann Machine (RBM) and the self-organizing layer of the Selforganized Multi-Layer Network using the Immune Algorithm (SMIA) with the FL-SMIA network and a standard MLP. We aim to investigate the performance of unsupervised learning in comparison to purely supervised and other mixed models. The FL-RBM model combines the products of raw input features (the Functional Link, FL), with the Restricted Boltzmann Machine RBM as a self-organizing first hidden layer, while the FL-SMIA model uses the Immune Algorithm on the first layer. The FLSMIA- RBM model, combines both self-organizing layers with a back-propagation network. The results show that the FL-SMIA model outperforms the FL-RBM, the FL-SMIA-RBM and the MLP as measured by Annualized Return (AR) in one-day-ahead prediction on exchange rates time series. In terms of volatility, the FL-SMIA and MLP perform similarly.

Publication Type:	Article
Additional Information:	© 2020 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes,creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works
Subjects:	Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Departments:	School of Science & Technology > Computer Science

Export

Downloads