Tutorial Paper Proc. of Int. Conf.

on Control, Communication and Power Engineering 2013

A Comparison of Stock Trend Prediction Using Accuracy Driven Neural Network Variants
1 Research Scholar, Sathyabama University, Chennai-600119, Tamil Nadu, India. Associate professor, St. Josephs College of Engineering, Chennai-600119, Tamil Nadu, India Email: rajakumar_mp@yahoo.com 2 Professor, St. Josephs College of Engineering, Chennai-600119, Tamil Nadu, India Email: drvshanthi@yahoo.co.in
AbstractIn the recent scenario, nevertheless to say, modern finance is facing many hurdles to find effective ways to gather information about stock market data at one shot. At the same time it is inevitable for both individuals & institutions to visualize, summarize & enhance their knowledge about the market behavior for making wise decisions. This paper surveys recent literature in the domain of neural network variants to forecast the stock market trends. Classification is made in terms of dependant variables, data preprocessing techniques used, network structure, performance analysis and other useful modeling information. Through the surveyed papers it is shown that the neural network variants are widely accepted to study and evaluate stock market behavior compared to standalone neural network. Index Termsneural network variants, standalone neural network, classification, stock market forecasting.

M.P. Rajakumar1 and Dr. V. Shanthi2

I. INTRODUCTION A stock market is a primarily a virtual exchange of securities that is, shares and debentures, which companies use as a means of raising finance and derivatives. Forecasting the stock trend is highly challenging since the stock market data are highly time variant data and non linear pattern. To introspect challenges in stock market we need to overcome the impediments and strive for further improving our focus on prediction of share market. Neural networks play an important role in predicting the stock market prices accurately. Numerous researches on the application of neural network in forecasting problem have proven their advantages over statistical methods. The neural network has the advantages like analyzing complex pattern, process qualitative data, no restrictive assumption, overcome autocorrelation and can handle noisy data. But it has some limitations like need of high quality data, variables must be carefully selected a priori, knowledge of its internal working is never known, risk of over fitting, required definition of architecture, long processing time, possibilities of illogical network behavior, large training sample, need lot of computational resources and limited to specific problems when applied. The above limitation of neural network can be overcome neural network variants in predicting the stock market behavior. The variants of neural network provides enhanced features such as rapid training, reducing extra effort on scrutinizing training data, shorter computational time, higher 2013 ACEEE DOI: 03.LSCS.2013.2.531 73

frequency, higher order linear data, fast convergence, need only few data, providing more parsimonious interpolation in high dimension spaces when modeling sample are sparse. These additional advantages of neural network variants provide fast forecasting of stock market prices with high quality prediction accuracy compared to standalone neural network. This work focuses on the applications of available neural networks variants to predict stock market indexes. A stock index is a method of measuring the value of a section of the stock market. It is computed from the prices of selected stocks in the forecasting process and the main firm characteristics are not taken into consideration. Authors developed models to overcome this limitation. Neural network variants may be applied to diverse markets to forecast the stock market indexes. The purpose of this work is to review and classify the neural network variants to stock market prediction. Results are presented in three tables. The first table lists the neural network variants, descriptions, enhanced features and scope for future work. The second table presents the stock markets modeled by different authors, independent variables to the stock market, performance measurement & data preprocessing techniques used. The final table summarizes some useful modeling information like sample size of the work, validation set, training process, network structure and the membership function used. The classification of neural network variants techniques used in analyzing and evaluating stock market is presented. The major applications of this technique include obtaining supplementary information related to market behavior, relationship among factor influencing performance, input data compassion among other things. II. COMPARISON OF NEURAL NETWORK TYPES Table I presents description of neural network variants for stock market forecasting, comparative performance, enhanced features and the scope for future work. The description provides information on the authors proposed work, objectives and methodology. The comparisons made by different authors against different model are listed. These networks showed comparable results. The enhanced features of neural network variants include high speed learning for large volume of data, less computation time, fast convergence,

Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013 combining the strengths of different fields like fuzzy system, genetic algorithm, wavelet theory, spatial and temporal information and regarded as open box rather than black box. The possible extension to enhance the different types of neural networks for predicting the share price is presented in future work section. Table II lists stock market, input variables, performance measurement and data preprocessing techniques used. The stock markets modeled by different authors are listed. The number of independent variables used in each work differs. Some authors used 40 input variables .The most commonly used inputs are stock market daily low price, high price, maximum price and minimum price. Most authors predict the stock market price and buy/sell behavior of the stock as output. The performance measures can be classified as statistical & non-statistical measures. Statistical measures include AMAPE, ARV, CC, FPE, MAD, MAPE, MSE, NMSE, R2 and POCID. Non- statistical performance includes hit rate(time-first),hit rate(space-first),rate of return, annualized return, cumulative return, annualized volatility, information ratio, maximum drawdown, liquidity cash, portfolio value, number of computational steps and speed up ratio. In most researches the input data consists large amount of historical data. This reduces the effectiveness of the training. This may be overcome by preprocessing the data such as data normalization, scaling of data between ranges of 0 and 1, reduction in dimensionality, principal component analysis, EDA optimization and some statistical procedures. Table III lists sample size, validation set, training process, network structure and its membership function. The proper sample size enhances the accuracy of stock market prediction. To predict established stock index large amount of data is required due to changes of stock market in long run. Sample size chosen by author is daily stock data with few cases of missing data. It ranges from 2 years of stock data to 11 years of stock data. Most authors divide the input series into training set and validation set. But the percentage of the sample size used for validating the result of the model varies from 20 % to 50%. The training process used for variant neural network types are EBP and Gradient descent learning algorithms. Some authors proposed new training algorithm like supplementary training process which has the features of high speed learning with a large volume of data rate and less calculation load. The average number of hidden layer used in the network is one or two. Only FFNN uses 5 hidden layers which measures the complexity of training algorithm. The most common membership functions employed are sigmoid function and Gaussian function.

Table I. COMPARISON OF NEURAL NETWORK VARIANTS

NN variants GFNN [9] Descriptions An intelligent decision support system which measures all the qualitative events in addition to quantitative factors that may influence the stock market were developed. This novel method consists of 3 parts namely factors identification, qualitative model and decision integration. The fuzzy Delphi method was employed to capture the stock experts knowledge and transformed to the acceptable format of GFNN. A set of trading strategies to translate the forecasts into monetary returns using PbNN was developped. The significant impact of the investment horizon was also investigated. PNN was built on the Bayesian classifier which was capable of classifying a sample with the maximum probability of success An attempt was made to model and predict buying and selling timing prediction system for stocks and analysis of internal representation. MNN was characterized by a series of independent NN moderated by some intermediary. Comparative performance analysis The ANN which considers only quantitative factors is outperformed by the proposed system in the learning accuracy, buy-sell clarity and buy-sell performance Enhanced features Capture the stock experts knowledge, decrease the training time and avoids local minima Future work Real-number coding approach can be applied in addition to binary coding approach. It can replace FFNN with EBP learning algorithm

PbNN [3]

Comparison is based on performance statistics & trading profits. PbNN has stronger predictive power than both GMM & RW

Training is rapid, reduces extra effort on scrutinizing training data, provides the Bayesian probability of the class affiliation to make periodic decision on asset allocation, inherently parallel structure

Include a set of adaptive thresholds which changes dynamically in accordance with some opportunity cost

MNN [16]

The MNN produces a much higher Correlation Coefficient than MRA

High speed learning with a large volume of data, eliminate the need for changing parameters depending on the amount of learning data, reduce the calculation load

Adaptation of network model that has regressive connection and self-looping, a system in combination with statistical method must be developed

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Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013
HTLNN [5] The HTLNN which integrated the supervised MLP with unsupervised Kohonen network for predicting the chaotic stock series was presented. HTLNN which contains short term memory at the input processing unit to provide the tap delay filter to hybrid network An integrated system CBDWNN by combining dynamic time windows, CBR & ANN for stock trading prediction was developed. This hybrid system consisted of screening out the outstanding stocks and use BPN to predict the wave peak and wave trough of stock price A method of forecasting which was capable of identifying and dealing with discontinuities nonlinearties and high frequency multi-polynomial components were proposed. HONN reduced the need to establish the relationship between inputs when training The future stock price companies acting in Tehran stock exchange used the most effective variables related to the stock with the help of GRNN was estimated.This novel model could approximate any arbitary function from historical data. one-period continuously compounded return series as AWNN model for the day ahead electricity market clearing price forecast was presented. AWNN introduced wavelets as activation function of hidden neurons in traditional FFNN with a linear output neuron A new approach which performs testing process in the frequency domain instead of the time domain was proposed for fast forecasting of stock prices. The operation of HSTDNN relied on performing cross correlation in the frequency domain between the input data and input weights of the NN Forecasting stock prices in Nigeria stock market industry using WNN was proposed. Learning of WNN consisted of changing the contents of the lookup table entries A spatio temporal model for stock price prediction was performed. Both spatial and temporal information synchronously without slide time window was presented. Multidimensional time series was also modeled. The two models of PNN could handle various time-space series problems especially for large scale of data The HTLNN outperforms the TLFN and HGUTLN in the quality and accuracy of the prediction Combine the strengths of both supervised and unsupervised networks HTLNN is being investigated for integration with other AI techniques such as GA,FS

CBDWNN [10]

CBDWNN makes good trading decision compared to CBR, BPN even when the trend is downward

Combine the strengths of dynamic windows, CBR & ANN.

Time window CBDWNN can dynamically

of set

HONN [2]

GP model does well and outperforms HONN, RNN, MLP, ARMA, MACD and NAIVE trading strategy

GRNN [13]

GRNN method is better than linear regression method in estimation & more descriptive

Fast learning network with increased learning capabilities, shorter computation time., regarded as open box rather than black box, able to simulate higher frequency, higher order non-linear data Internal structure is not problem dependent, suitable for scattered data, network model can be taught immediately, solve any problems in monotonous function Universal & L2 approximation properties, Consistent function estimator

Leverage factors can be set dynamically in reality. Leverage costs also apply non trading days

The number of input variables may be reduced for better accuracy

AWNN [8]

The proposed hybrid model outperforms the literatures and considering the extreme volatility of spike signal, the price spike forecast accuracy level of the proposed system is good as compared with literature

Using modern SCADA/EMS systems we can evaluate the system status and perform very short term price forecasts which improve the forecasting of spikes The complexity of the cross correlation in the frequency domain can be reduced

HSTDNN [4]

The author proved mathematically and practically that the number of computational steps required for the HSTDNN is less than TTDNN

Number of computation step is less, less memory capacity

WNN [1]

When compared with SES model, the WNN forecasting tool proved to be more accurate

Training takes only one epoch , highly flexible, fast learning algorithms

The other statistical forecasting tools in comparison with WNN may be used

PNN [6]

Time first & Space-first structures of PNN performs higher hit rate than BNN, HMM and SVM in prediction of daily stock price

Combine the spatial and temporal information together, simulate the biological neuron physiologically better, decrease the time for aggregating information from different time segments

The generalization ability of PNN for new coming data may be addressed in future

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Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013
MMNN [14] TIMTAEF method, which performs an evolutionary search for the minimum dimension in determining the characteristic phase space that generates the financial time series was presented. This novel model searched for the particular time lag capable of a fine tuned charactererization of the time series and estimates the initial parameters of the MMNN. The prediction of the proposed model obtained a performance much better in terms of evaluation function than the TAEF & MRLTAEF model Overcome the random walk dilemma for stock market prediction Future works can consider the development of further studies, in terms of risk and financial return, in order to determine the additional economical benefits. Also investigate the performance of proposed method with other financial time series with components seasonality, impulses steps More price indices that effect on stock price can be used for accurate stock price prediction, proposed model can be applied for the firms in other sectors

GMDHNN [15]

A GMDH type Neural Network and genetic algorithm was developed for stock prediction of cement sector in Tehran stock exchange. A model could be represented as a set of neurons in which different pairs of them in each layer were connected through a quadratic polynomial and therefore produce new neurons in the next layer The proposed hybrid FLFNN used non linear combination of input variables to predict the future stock close price. FLFNN is a flat net without a hidden layer. The hyperplanes generated by the FLFNN produced greater discrimination capability in the input pattern A simple FLANN network was proposed whose randomly chosen weights were optimized with BP and DE algorithm respectively to predict the stock price indices one day, one week, two weeks and one month in advance. It had the capability to form complex decision regions by creating non linear decision boundaries To increase prediction accuracy and reduce search space and time for achieving the optimal solution, the combination of WNN with fuzzy knowledge was used. FWNN which integrated wavelet functions with the TSK fuzzy model. The proposed network was constructed on the base of a set of TSK fuzzy rules that included a wavelet function in the consequent part of each rule The seemingly chaotic behavior of stock markets can be represented using EDA based LLWNN technique.Local linear models should provide a more parsimonious interpolation in high-dimension spaces when modeling samples are sparse.

GMDHNN outperforms traditional time series method and regression based models in prediction accuracy

Best optimal simplified model for inaccurate, noisy or small data sets, simple structure than traditional neural network models, higher accuracy

FLFNN [7]

The proposed hybrid model forecasts the stock close price accurately with minimum error rate than FLANN

Large reduction in computation requirement, learning algorithm is simple, provides greater discrimination capability in the input pattern space, fast convergence

Fuzzy sets can be filled with suitable relations that will be capable of detecting various attributes of stock market

FLANN [11]

The DE optimized FLANN a proving its superiority compared to BP optimized FLANN

Efficient global optimizer in the continuous search domain, fast convergence, requires only few parameters

The performance comparison can be extended with DE optimized PSO

FWNN [12]

Result, demonstrates that FWNN with DE has better performance than FWNN with BP, FFNN and ANFIS

Combine the strengths of wavelet theory, fuzzy logic and neural networks, fast training speed, ability to analyze non-stationary signals to discover their local details, self learning characteristic that increases the accuracy of the prediction

The complexity of the network can be minimized

LLWNN [17]

LLWNN outperform prediction accuracy

WNN in

Learning efficiency, structure efficiency, provides more parsimonious interpolation in high dimension spaces when modeling samples are sparse

It can be extended to long term trends also

CONCLUSIONS This study has surveyed articles of neural network variants to predict stock market values. This study has 2013 ACEEE DOI: 03.LSCS.2013.2.531 76

focused on input data, data preprocessing methods, network structure, membership function used, comparative studies, performance measures and other useful modeling information. The observation is that the neural network variants are

Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013
Table II. LIST
NN variants GFNN Stock market Taiwan exchange Taiwan exchange stock
OF

SURVEYED STOCK MARKETS, I NPUT, OUTPUT & DATA PREPROCESSIN

Input variables Performance measures MSE Data preprocessing Normalized to [0, 1]

Quantitative & Qualitative input variables TS,TB,DS3,DS6,DS12,GC3,GC6,G C12,PC3,PC6,PC12,GNP3,GNP6,G NP12,GDP3,GDP6,GDP12,CPI3,CP I6,CPI12,IP3,IP6,IP12 Technical and economical indexes( curve, turn over, interest rate, foreign exchange rate, New-York DowJones average and historical share prices) Inter day stock data that is intraday high, intraday low, close prices & volume of the stock ticker Highest stock price, lowest stock price Closing stock price

PbNN

stock

FPE

Statistical testing procedure

MNN

Tokyo Stock exchange

CC

HTLNN

Kuala Lumpur stock exchange Taiwan stock market Greek stock market

Liquidity value RR

cash,

Portfolio

CBDWNN HONN

GRNN AWNN HSTDNN WNN PNN

Tehran (Iran) exchange PJM market

stock

financial variables & macroeconomic variables Historic price data upto day (D-1) & explanatory data upto day (D-1) stock market price Daily stock closing prices. Open price, highest price, lowest price, closing price & stock volume. Stock market price

Annualized Return, Cumulative Return, Annualized Volatility, Information Ratio, Maximum Drawdown R2, MAPE, MSE, AMAPE AMAPE, Variance, MSE Number of Computation Steps, Speed up ratio MSE Hit-rate (Time-First), Hitratio (Space-First) MSE, MAPE, NMSE or THEIL, POCID, ARV, Fitness Function

Teaching data are often irregular. Such data is preprocessed by log or error functions to make them regular. It is then normalized into [0, 1] section. All the data in the input series is normalized to a value between 0 &1 Normalized to a value between zero and one Confirmation filters

Independent component analysis Reduction in dimensionality

Nigeria stock exchange Yahoo finance stock market Alliance Financial Corporation , BancFirst Corporation ,First Citizens Bancshares Inc , Westamericaa Bancorp Iranian stock market SENSEX & NSE NSE, BSE and INFY

MMNN

All time series were normalized to lie within the range [0,1]

GMDHNN FLFNN FLANN FWNN

EPS, PEPS, DPS, PE, E/P Non-linear combination of input variables The Indian stock prices with few technical indicators like SMA, EMA Stock price (low, high, open, close)

R2, RMSE, MAD RMSE, MAPE MAPE, RMSE RMSE Data preprocessed to the range [0,1] All the inputs are normalized within a range of [0, 1] All the input and output data are scaled in the interval [0, 1] Input parameters are optimized by EDA

LLWNN

NASDAQ stock market and S& P CNX NIFTY stock index

Opening price, closing price and maximum price

CC, MAP, MAPE

suitable for stock market forecasting. Analysis demonstrates that neural network variants outperform standalone neural network and conventional models. They return better results and higher prediction accuracy. However, difficulties arise when defining the generalization structure of the network like number of hidden layer, number of hidden neurons, etc. APPENDIX A NEURAL NETWORK VARIANTS AWNN CBDWNN FLANN Adaptive wavelet neural network Case based dynamic window neural network Functional link artificial neural network 77

FLFNN FWNN GFNN GMDHNN GRNN HONN HSTDNN HTLNN LLWNN MMNN

Functional link fuzzy logic neural network Fuzzy wavelet neural network Genetic algorithm based fuzzy neural network Group method of data handling neural network General regression neural network Hybrid higher order neural network High speed time delay neural network Hybrid time lagged neural network Local linear wavelet neural network Hybrid model composed of modular

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Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013
Table III. SUMMARY OF USEFUL MODELING INFORMATION
NN variants GFNN Sample size 7 years of stock data (1991-1997) Validation set Training sample (19941995) & testing sample (Jan 1996-Apr 1997) Sample estimation period (Jan 1982-Aug 1987) out of sample period (Sep 1987-Aug 1992) Learning data (2/3) & teaching data (1/3) Learning data (50%) testing data (50%) & Training process EBP Network structure Input layer, one or more hidden layer & output layer horizon Input layer, two hidden layers (pattern , class) & output layer Input layer, hidden layer & output layer Input layer, two hidden layers & output layer (Supervised MLP) Input layer, hidden layer & output layer Input layer, hidden layer & output layer Membership function Asymmetric Gaussian function(general shape) Probability density function (Bayesian decision rule) Standard function Unipolar function sigmoid

PbNN

11 years of stock data (Jan 1982 - Aug 1992) Weekly learning data from Jan 1985Sep 1989 10 years of stock information 2 years of stock data (Jan 2004 Dec 2005) 8 years of stock data(Jan 2001- Dec 2008)

Rolling approach

MNN

Supplementary learning Sliding window with the size of twenty points BPN & supervised learning Gradient descent learning algorithm

HTLNN

sigmoid

CBDWNN

Training data & testing data

Sigmoid function or logistic function Sigmoid & function linear

HONN

Training data:29-01-2001 to 03-05-2006 Testing data :04-05-2006 to 30-08-2007 Out-of-sample data: 31-082007 to 31-12-2008

GRNN

6 years of macro & financial variables (100 companies) 2 years of stock data (Jan 2005-Dec 2006) Training set, validation set & generalization set

LM algorithm

learning

AWNN

Gradient algorithm EBP

type

Input layer, 2 hidden layers (pattern, summation) & output layer Input layer, hidden layer & output layer Input layer, one or more hidden layer & output layer

Sigmoid function

HSTDNN

WNN PNN Past decade years Training set & test data

One-shot learning algorithm Gradient descent learning algorithm BP

Input layer, atleast one hidden layer & output layer

MMNN

GMDHNN FLFNN FLANN

Decennial (1999-2008)

range

Training set-50% validation set-25% test data-25% Training data-80%, testing data-20%

EBP EBP

FWNN

NSE:01-03-2000 to 30-03-2012 INFY:30-03-2000 to 23-03-2012 BSE:26-02-1992 to 15-10-2008 Last 3 years of stock data 7 year stock data for Nasdaq-100 index & 4 year stock data for NIFTY index

Training Testing NSE 1200 400 INFY 2000 400 BSE 1600 400

DE & BP

Input layer, 2 hidden layers & output layer Flat net without any hidden layer Flat net without any hidden layer

Polynomial transfer function Trigonometric function Trigonometric function

LLWNN

Training data-950 data Diagnostic testing data-50 data Training data-50%, test data-50%

DE

Input layer, 5 hidden layers & output layer Input layer, atleast one hidden layer, output layer

Gaussian function

EDA

Gaussian function

MNN PbNN PNN WNN

morphological neural network with modified genetic algorithm Modular neural network Probabilistic neural network Procedural neural network Weightless neural network

COMPARATIVE STUDIES ANFIS ANN ARMA BNN BPFLANN 78 Adaptive neuro fuzzy inference system Artificial neural network Autoregressive moving average Backpropogation neural network Back propagation based Functional link artificial neural model

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Tutorial Paper Proc. of Int. Conf. on Control, Communication and Power Engineering 2013 BPN CBR DEFLANN DEFWNN FLANN FNN GAFWNN GMM GPA HGUTLN HMM MACD MLP MRA MRLTAEF RNN SES SVM TAFE TIMTAFE TLFN TTDNN WaNN Back propagation network Case based reasoning Differential evolution based Functional link artificial neural model Differential evolution using fuzzy wavelet neural network Functional link artificial neural model Feed-forward neural network Genetic algorithm using fuzzy wavelet neural network Generalized methods of moments with kalman filter Genetic programming algorithm Highly granular unsupervised time lagged network Hidden markov model Moving average convergence / divergence model Multi layer perceptron Multiple regression analysis Morphological-rank linear time-delay added evolutionary forecasting Hybrid, mixed recurrent network Single exponential smoothing Support vector machine Time-delay added evolutionary forecasting Translation invariant morphological time-lag added evolutionary forecasting Time lagged feed-forward network Traditional time delay neural network Wavelet neural network PERFORMANCE MEASUREMENT AMAPE ARV CC FPE MAD MAP MAPE MSE NMSE POCID RMSE R2 RR TIC Average mean absolute percentage error Average relative variance Correlation coefficient Final prediction error Mean absolute deviation Maximum absolute percentage error Mean absolute percentage error Mean squared error Normalized mean squared error Percentage of change in direction Root mean squared error Squared correlation Rate of return Theil inequality coefficient REFERENCES
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