108.

C++ Neural Networks and Fuzzy Logic
by Valluru B. Rao
M&T Books, IDG Books Worldwide, Inc.
ISBN: 1558515526   Pub Date: 06/01/95  

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Consultants

Mark Jurik

Jurik Research

P.O. Box 2379, Aptos, CA 95001

Hy Rao

Via Software Inc, v: [phone], fax: [phone]

BEI Suite 480, 660 Plainsboro Rd., Plainsboro, NJ 08536

[e-mail]

Mendelsohn Enterprises Inc.

25941 Apple Blossom Lane

Wesley Chapel, FL 33544

Murray Ruggiero Jr.

Ruggiero Associates,

East Haven, CT

The Schwartz Associates [phone]

801 West El Camino Real, Suite 150, Mountain View, CA 94040

Historical Financial Data Vendors

CSI (800) CSI-4727

200 W. Palmetto Park Rd., Boca Raton, FL 33432

Free Financial Network, New York [phone]

Genesis Financial Data Services (800) 808-DATA

411 Woodmen, Colorado Springs, CO 80991

Pinnacle Data Corp. [phone]

460 Trailwood Ct., Webster, NY 14580

Stock Data Corp. [phone]

905 Bywater Rd., Annapolis, MD 21401

Technical Tools Inc. [phone]

334 State St., Suite 201, Los Altos, CA 94022

Tick Data Inc. [phone]

720 Kipling St., Suite 115, Lakewood, CO 80215

Worden Bros., Inc. [phone]

4905 Pine Cone Dr., Suite 12, Durham, NC 27707

Preprocessing Tools for Neural Network Development

NeuralApp Preprocessor for Windows

Via Software Inc., v: [phone] fax: [phone]

BEI Suite 480, 660 Plainsboro Rd., Plainsboro, NJ 08536

[e-mail]

Stock Prophet

Future Wave Software [phone]

1330 S. Gertruda Ave., Redondo Beach, CA 90277

Wavesamp & Data Decorrelator & Reducer

TSA [phone]

801 W. El Camino Real, #150, Mountain. View, CA 94040

Genetic Algorithms Tool Vendors

C Darwin

ITANIS International Inc.

1737 Holly Lane, Pittsburgh, PA 15216

EOS

Man Machine Interfaces Inc. [phone]

555 Broad Hollow Rd., Melville, NY 11747

Evolver

Axcelis, Inc. [phone]

4668 Eastern Ave. N., Seattle, WA 98103

Fuzzy Logic Tool Vendors

CubiCalc

HyperLogic Corp. [phone]

1855 East Valley Pkwy., Suite 210, Escondido, CA 92027

TILSHELL

Togai InfraLogic Inc.

5 Vanderbilt, Irvine, CA 92718

Neural Network Development Tool Vendors

Braincel

Promised Land Technologies [phone]

195 Church St., 8th Floor, New Haven, CT 06510

BrainMaker

California Scientific Software [phone]

10024 Newtown Rd., Nevada City, CA 95959

ForecastAgent for Windows, ForecastAgent for Windows 95

Via Software Inc., v: [phone] fax: [phone]

BEI Suite 480, 660 Plainsboro Rd., Plainsboro, NJ 08536

[e-mail]

InvestN 32

RaceCom, Inc. [phone]

555 West Granada Blvd., Suite E-10, Ormond Beach, FL 32714

NetCaster, DataCaster

Maui Analysis & Synthesis Technologies [phone]

590 Lipoa Pkwy., Suite 226, Kihei, HI 96753

NeuroForecaster

NIBS Pte. Ltd. (65) 344-2357

62 Fowlie Rd., Republic of Singapore 1542

NeuroShell

Ward Systems Group [phone]

Executive Park West, 5 Hillscrest Dr., Frederick, MD 21702

NeuralWorks Predict

NeuralWare Inc. [phone]

202 Park West Dr., Pittsburgh, PA 15276

N-Train

Scientific Consultant Services [phone]

20 Stagecoach Rd., Selden, NY 11784

Summary

This chapter presented a neural network application in financial forecasting. As an example of the steps needed to develop a neural network forecasting model, the change in the Standard & Poor’s 500 stock index was predicted 10 weeks out based on weekly data for five indicators. Some examples of preprocessing of data for the network were shown as well as issues in training.

At the end of the training period, it was seen that memorization was taking place, since the error in the test data degraded, whereas the error in the training set improved. It is important to monitor the error in the test data (without weight changes) while you are training to ensure that generalization ability is maintained. The final network resulted in average RMS error of 6.9 % over the training set and 13.9% error over the test set.

This chapter’s example in forecasting highlights the ease of use and wide applicability of the backpropagation algorithm for large, complex problems and data sets. Several examples of research in financial forecasting were presented with a number of ideas and real-life methodologies presented.

Technical Analysis was briefly discussed with examples of studies that can be useful in preprocessing data for neural networks.

A Resource guide was presented for further information on financial applications of neural networks.

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