Financial data forecasting using optimized echo state network

Junxiu Liu, Tiening Sun, Yuling Luo*, Qiang Fu, Yi Cao, Jia Zhai, Xuemei Ding

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The echo state network (ESN) is a dynamic neural network, which simplifies the training process in the conventional neural network. Due to its powerful non-linear computing ability, it has been applied to predict the time series. However, the parameters of the ESN need to be set experimentally, which can lead to instable performance and there is space to further improve its performance. In order to address this challenge, an improved fruit fly optimization algorithm (IFOA) is proposed in this work to optimize four key parameters of the ESN. Compared to the original fruit fly optimization algorithm (FOA), the proposed IFOA improves the optimization efficiency, where two novel particles are proposed in the fruit flies swarm, and the search process of the swarm is transformed from two-dimensional to three-dimensional space. The proposed approach is applied to financial data sets. Experimental results show that the proposed FOA-ESN and IFOA-ESN models are more effective (~50% improvement) than others, and the IFOA-ESN can obtain the best prediction accuracy.

Original languageEnglish
Title of host publicationNeural Information Processing - 25th International Conference, ICONIP 2018, Proceedings
EditorsAndrew Chi Sing Leung, Long Cheng, Seiichi Ozawa
PublisherSpringer-Verlag
Pages138-149
Number of pages12
ISBN (Print)9783030042202
DOIs
Publication statusPublished - 2018
Event25th International Conference on Neural Information Processing, ICONIP 2018 - Siem Reap, Cambodia
Duration: 13 Dec 201816 Dec 2018

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume11305 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference25th International Conference on Neural Information Processing, ICONIP 2018
Country/TerritoryCambodia
CitySiem Reap
Period13/12/1816/12/18

Keywords

  • algorithm optimization
  • echo state network
  • fruit fly algorithm
  • time series

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