Skip to main content
Top

2017 | OriginalPaper | Chapter

Particle Swarm Optimization of Ensemble Neural Networks with Type-1 and Type-2 Fuzzy Integration for the Taiwan Stock Exchange

Authors : Martha Pulido, Patricia Melin, Olivia Mendoza

Published in: Nature-Inspired Design of Hybrid Intelligent Systems

Publisher: Springer International Publishing

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

This paper describes an optimization method based on particle swarm optimization (PSO) for ensemble neural networks with type-1 and type-2 fuzzy aggregation for forecasting complex time series. The time series that was considered in this paper to compare the hybrid approach with traditional methods is the Taiwan Stock Exchange (TAIEX), and the results shown are for the optimization of the structure of the ensemble neural network with type-1 and type-2 fuzzy integration. Simulation results show that ensemble approach produces good prediction of the Taiwan Stock Exchange.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Literature
1.
go back to reference P. Cowpertwait, A. Metcalfe, Time Series, “Introductory Time Series with R.”, Springer Dordrecht Heidelberg London New York, 2009, pp. 2–5. P. Cowpertwait, A. Metcalfe, Time Series, “Introductory Time Series with R.”, Springer Dordrecht Heidelberg London New York, 2009, pp. 2–5.
2.
go back to reference O. Castillo, P. Melin. “Hybrid intelligent systems for time series prediction using neural networks, fuzzy logic, and fractal theory” Neural Networks, IEEE Transactions on Volume 13, Issue 6, Nov. 2002, pp. 1395–1408. O. Castillo, P. Melin. “Hybrid intelligent systems for time series prediction using neural networks, fuzzy logic, and fractal theory” Neural Networks, IEEE Transactions on Volume 13, Issue 6, Nov. 2002, pp. 1395–1408.
3.
go back to reference O. Castillo, P. Melin. “Simulation and Forecasting Complex Economic Time Series Using Neural Networks and Fuzzy Logic”, Proceeding of the International Neural Networks Conference 3, 2001, pp. 1805–1810. O. Castillo, P. Melin. “Simulation and Forecasting Complex Economic Time Series Using Neural Networks and Fuzzy Logic”, Proceeding of the International Neural Networks Conference 3, 2001, pp. 1805–1810.
4.
go back to reference O. Castillo, P. Melin. “Simulation and Forecasting Complex Financial Time Series Using Neural Networks and Fuzzy Logic”, Proceedings the IEEE the International Conference on Systems, Man and Cybernetics 4, 2001, pp. 2664–2669. O. Castillo, P. Melin. “Simulation and Forecasting Complex Financial Time Series Using Neural Networks and Fuzzy Logic”, Proceedings the IEEE the International Conference on Systems, Man and Cybernetics 4, 2001, pp. 2664–2669.
5.
go back to reference N. Karnikand M. Mendel, “Applications of type-2 fuzzy logic systems to forecasting of time-series”, Information Sciences, Volume 120, Issues 1–4, November 1999, pp. 89-111. N. Karnikand M. Mendel, “Applications of type-2 fuzzy logic systems to forecasting of time-series”, Information Sciences, Volume 120, Issues 1–4, November 1999, pp. 89-111.
6.
go back to reference A. Kehagias and V. Petridis., “Predictive Modular Neural Networks for Time Series Classification”, Neural Networks,, January 1997, Volume 10, Issue 1 pp. 31–49.2000, pp.245–250. A. Kehagias and V. Petridis., “Predictive Modular Neural Networks for Time Series Classification”, Neural Networks,, January 1997, Volume 10, Issue 1 pp. 31–49.2000, pp.245–250.
7.
go back to reference L. P. Maguire., B. Roche, T.M. McGinnity and L. J. McDaid., Predicting a chaotic time series using a fuzzy neural network, Information Sciences, December 1998, Volume 112, Issues 1–4, pp. 125–136. L. P. Maguire., B. Roche, T.M. McGinnity and L. J. McDaid., Predicting a chaotic time series using a fuzzy neural network, Information Sciences, December 1998, Volume 112, Issues 1–4, pp. 125–136.
8.
go back to reference P. Melin., O. Castillo., S. Gonzalez., J Cota., W., Trujillo., and P. Osuna., “Design of Modular Neural Networks with Fuzzy Integration Applied to Time Series Prediction”, Springer Berlin / Heidelberg, 2007, Volume 41/2007, pp. 265–273. P. Melin., O. Castillo., S. Gonzalez., J Cota., W., Trujillo., and P. Osuna., “Design of Modular Neural Networks with Fuzzy Integration Applied to Time Series Prediction”, Springer Berlin / Heidelberg, 2007, Volume 41/2007, pp. 265–273.
9.
go back to reference R. N. Yadav. Kalra P.K. and J. John., “Time series prediction with single multiplicative neuron model”, Soft Computing for Time Series Prediction,, Applied Soft Computing, Volume 7, Issue 4, August 2007, pp. 1157–1163. R. N. Yadav. Kalra P.K. and J. John., “Time series prediction with single multiplicative neuron model”, Soft Computing for Time Series Prediction,, Applied Soft Computing, Volume 7, Issue 4, August 2007, pp. 1157–1163.
10.
go back to reference L. Zhao and Y. Yang., “PSO-based single multiplicative neuron model for time series prediction”, Expert Systems with Applications, March 2009, Volume 36, Issue 2, Part 2, pp. 2805–2812. L. Zhao and Y. Yang., “PSO-based single multiplicative neuron model for time series prediction”, Expert Systems with Applications, March 2009, Volume 36, Issue 2, Part 2, pp. 2805–2812.
11.
go back to reference P. T. Brockwell, & R. A. Davis., (2002). “Introduction to Time Series and Forecasting”, Springer-Verlag New York, pp 1–219. P. T. Brockwell, & R. A. Davis., (2002). “Introduction to Time Series and Forecasting”, Springer-Verlag New York, pp 1–219.
12.
go back to reference N. Davey, S. Hunt, R. Frank., “Time Series Prediction and Neural Networks”, University of Hertfordshire, Hatfield, UK, 1999. N. Davey, S. Hunt, R. Frank., “Time Series Prediction and Neural Networks”, University of Hertfordshire, Hatfield, UK, 1999.
13.
go back to reference Neuro-Fuzzy and Soft Computing. J.S.R. Jang, C.T. Sun, E. Mizutani, Prentice Hall 1996. Neuro-Fuzzy and Soft Computing. J.S.R. Jang, C.T. Sun, E. Mizutani, Prentice Hall 1996.
14.
go back to reference I .M. Multaba, M A. Hussain., Application of Neural Networks and Other Learning. Technologies in Process Engineering. Imperial College Press. 2001. I .M. Multaba, M A. Hussain., Application of Neural Networks and Other Learning. Technologies in Process Engineering. Imperial College Press. 2001.
15.
go back to reference A. Sharkey., Combining artificial neural nets: ensemble and modular multi-net systems, Springer- Verlag, London, 1999. A. Sharkey., Combining artificial neural nets: ensemble and modular multi-net systems, Springer- Verlag, London, 1999.
16.
go back to reference P. Sollich., and A. Krogh., Learning with ensembles: however-fitting can be useful, in: D.S. Touretzky, M.C. Mozer, M. E. Hasselmo (Eds.), Advances in Neura lInformation Processing Systems 8, Denver, CO, MIT Press, Cambridge, MA, 1996, pp.190–196. P. Sollich., and A. Krogh., Learning with ensembles: however-fitting can be useful, in: D.S. Touretzky, M.C. Mozer, M. E. Hasselmo (Eds.), Advances in Neura lInformation Processing Systems 8, Denver, CO, MIT Press, Cambridge, MA, 1996, pp.190–196.
17.
go back to reference L. K. Hansen., and P. Salomon., Neural network ensembles, IEEE Trans. Pattern Analysis and Machine Intelligence 12 (10) 1990 pp. 993-1001. L. K. Hansen., and P. Salomon., Neural network ensembles, IEEE Trans. Pattern Analysis and Machine Intelligence 12 (10) 1990 pp. 993-1001.
18.
go back to reference Sharkey A., “One combining Artificial of Neural Nets”, Department of Computer Science University of Sheffield, U.K., 1996. Sharkey A., “One combining Artificial of Neural Nets”, Department of Computer Science University of Sheffield, U.K., 1996.
19.
go back to reference S. Gutta., H. Wechsler., Face recognition using hybrid classifier systems, in: Proc. ICNN-96, Washington, DC, IEEE Computer Society Press, Los Alamitos, CA, 1996, pp.1017–1022. S. Gutta., H. Wechsler., Face recognition using hybrid classifier systems, in: Proc. ICNN-96, Washington, DC, IEEE Computer Society Press, Los Alamitos, CA, 1996, pp.1017–1022.
20.
go back to reference F. J. Huang., Z. Huang, H-J. Zhang, and T. H. Chen., Poseinvariantface recognition, in: Proc. 4 th IEEE International Conference on Automatic Face and Gesture Recognition, Grenoble, France, IEEE Computer Society Press, Los Alamitos, CA. F. J. Huang., Z. Huang, H-J. Zhang, and T. H. Chen., Poseinvariantface recognition, in: Proc. 4 th IEEE International Conference on Automatic Face and Gesture Recognition, Grenoble, France, IEEE Computer Society Press, Los Alamitos, CA.
21.
go back to reference H. . Drucker.,, R. Schapire., P .Simard P., Improving performance in neural networks using a boosting algorithm, in:S.J. Hanson, J.D. Cowan Giles (Eds.), Advancesin Neural Information Processing Systems 5, Denver, CO, Morgan Kaufmann, San Mateo, CA, 1993, pp.42–49. H. . Drucker.,, R. Schapire., P .Simard P., Improving performance in neural networks using a boosting algorithm, in:S.J. Hanson, J.D. Cowan Giles (Eds.), Advancesin Neural Information Processing Systems 5, Denver, CO, Morgan Kaufmann, San Mateo, CA, 1993, pp.42–49.
22.
go back to reference J. Hampshire., A. Waibel., A novel objective function for improved phoneme recognition using time-delay neural networks, IEEE Transactions on Neural Networks 1(2), 1990, pp. 216–228. J. Hampshire., A. Waibel., A novel objective function for improved phoneme recognition using time-delay neural networks, IEEE Transactions on Neural Networks 1(2), 1990, pp. 216–228.
23.
go back to reference J. Mao., A case study on bagging, boosting and basic ensembles of neural networks for OCR, in:Proc. IJCNN-98, vol. 3, Anchorage, AK, IEEE Computer Society Press, Los Alamitos,CA,1998,pp.1828–1833. J. Mao., A case study on bagging, boosting and basic ensembles of neural networks for OCR, in:Proc. IJCNN-98, vol. 3, Anchorage, AK, IEEE Computer Society Press, Los Alamitos,CA,1998,pp.1828–1833.
24.
go back to reference K. J. Cherkauer., Human expert level performance on a scientific image analysis task by a system using combine dartificial neural networks, in:P. Chan, S. Stolfo, D. Wolpert (Eds.), Proc. AAAI-96 Workshop on Integrating Multiple Learned Models for Improving and Scaling Machine Learning Algorithms, Portland, OR, AAAI Press, Menlo Park, CA, 1996, pp.15–21. K. J. Cherkauer., Human expert level performance on a scientific image analysis task by a system using combine dartificial neural networks, in:P. Chan, S. Stolfo, D. Wolpert (Eds.), Proc. AAAI-96 Workshop on Integrating Multiple Learned Models for Improving and Scaling Machine Learning Algorithms, Portland, OR, AAAI Press, Menlo Park, CA, 1996, pp.15–21.
25.
go back to reference P. Cunningham., J. Carney, S. Jacob., Stability problems with artificial neural networks and the ensemble solution, Artificial Intelligence in Medicine 20(3) (2000) pp. 217–225. P. Cunningham., J. Carney, S. Jacob., Stability problems with artificial neural networks and the ensemble solution, Artificial Intelligence in Medicine 20(3) (2000) pp. 217–225.
26.
go back to reference Z.-H Zhou, Y. Jiang,,Y.-B. Yang., and S.-F. Chen., Lung cancer cell identification based on artificial neural network ensembles, Artificial Intelligence in Medicine 24(1) (2002) pp. 25–36. Z.-H Zhou, Y. Jiang,,Y.-B. Yang., and S.-F. Chen., Lung cancer cell identification based on artificial neural network ensembles, Artificial Intelligence in Medicine 24(1) (2002) pp. 25–36.
27.
go back to reference Y.N. Shimshon., Intrator Classification of seismic signal by integrating ensemble of neural networks, IEEE Transactions Signal Processing 461 (5) (1998) 1194–1201. Y.N. Shimshon., Intrator Classification of seismic signal by integrating ensemble of neural networks, IEEE Transactions Signal Processing 461 (5) (1998) 1194–1201.
28.
go back to reference Practical Optimization Algorithms and Engineering Applications “Introduction Optimization”, Antoniou A. and Sheng W., Ed. Springer 2007, pp. 1–4. Practical Optimization Algorithms and Engineering Applications “Introduction Optimization”, Antoniou A. and Sheng W., Ed. Springer 2007, pp. 1–4.
29.
go back to reference R. Eberhart and J. Kennedy, “A new optimizer using swarm theory”, in proc. 6th Int. Symp. Micro Machine and Human Science (MHS), Oct.1995, pp. 39–43. R. Eberhart and J. Kennedy, “A new optimizer using swarm theory”, in proc. 6th Int. Symp. Micro Machine and Human Science (MHS), Oct.1995, pp. 39–43.
30.
go back to reference J. Kennedy and R. Eberhart R., “Particle Swarm Optimization”, in Proc. IEEE Int. Conf. Neural Network (ICNN), Nov. 1995, vol.4, pp. 1942–1948. J. Kennedy and R. Eberhart R., “Particle Swarm Optimization”, in Proc. IEEE Int. Conf. Neural Network (ICNN), Nov. 1995, vol.4, pp. 1942–1948.
Metadata
Title
Particle Swarm Optimization of Ensemble Neural Networks with Type-1 and Type-2 Fuzzy Integration for the Taiwan Stock Exchange
Authors
Martha Pulido
Patricia Melin
Olivia Mendoza
Copyright Year
2017
DOI
https://doi.org/10.1007/978-3-319-47054-2_27

Premium Partner