Evolutionary fuzzy neural networks for hybrid financial prediction

Authors:
Lixin Yu;Yan-Qing Zhang
Affiliations:
Dept. of Comput. Sci., Georgia State Univ., Atlanta, GA, USA;-
Venue:
IEEE Transactions on Systems, Man, and Cybernetics, Part C: Applications and Reviews
Year:
2005

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Abstract

In this paper, an evolutionary fuzzy neural network using fuzzy logic, neural networks (NNs), and genetic algorithms (GAs) is proposed for financial prediction with hybrid input data sets from different financial domains. A new hybrid iterative evolutionary learning algorithm initializes all parameters and weights in the five-layer fuzzy NN, then uses GA to optimize these parameters, and finally applies the gradient descent learning algorithm to continue the optimization of the parameters. Importantly, GA and the gradient descent learning algorithm are used alternatively in an iterative manner to adjust the parameters until the error is less than the required value. Unlike traditional methods, we not only consider the data of the prediction factor, but also consider the hybrid factors related to the prediction factor. Bank prime loan rate, federal funds rate and discount rate are used as hybrid factors to predict future financial values. The simulation results indicate that hybrid iterative evolutionary learning combining both GA and the gradient descent learning algorithm is more powerful than the previous separate sequential training algorithm described in.