An Evolutionary Functional Link Neural Fuzzy Model for Financial Time Series Forecasting

Authors:
S. Chakravarty;P. K. Dash;V. Ravikumar Pandi;B. K. Panigrahi
Affiliations:
Regional College of Management Autonomous, India;Siksha O Anusandhan University, India;Indian Institute of Technology Delhi, India;Indian Institute of Technology Delhi, India
Venue:
International Journal of Applied Evolutionary Computation
Year:
2011

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Abstract

This paper proposes a hybrid model, evolutionary functional link neural fuzzy model (EFLNF), to forecast financial time series where the parameters are optimized by two most efficient evolutionary algorithms: (a) genetic algorithm (GA) and (b) particle swarm optimization (PSO). When the periodicity is just one day, PSO produces a better result than that of GA. But the gap in the performance between them increases as periodicity increases. The convergence speed is also better in case of PSO for one week and one month a head prediction. To testify the superiority of the EFLNF, a number of comparative studies have been made. First, functional link artificial neural network (FLANN) and functional link neural fuzzy (FLNF) were combined with back propagation (BP) learning algorithm. The result shows that FLNF performs better than FLANN. Again, FLNF is compared with EFLNF where the latter outperforms the former irrespective of the periodicity or the learning algorithms with which it has been combined. All models are used to predict the most chaotic financial time series data; BSE Sensex and S&P CNX Nifty stock indices one day, one week and one month in advance.