Estudo da aplicação de redes neurais artificiais para predição de séries temporais financeiras
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Data
2018-08-06
Autores
Dametto, Ronaldo César
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Editor
Universidade Estadual Paulista (Unesp)
Resumo
O aprendizado de máquina vem sendo utilizado em diferentes segmentos da área financeira, como na previsão de preços de ações, mercado de câmbio, índices de mercado e composição de carteira de investimento. Este trabalho busca comparar e combinar três tipos de algoritmos de aprendizagem de máquina, mais especificamente, o método Ensemble de Redes Neurais Artificias com as redes Multilayer Perceptrons (MLP), auto-regressiva com entradas exógenas (NARX) e Long Short-Term Memory (LSTM) para predição do Índice Bovespa. A amostra da série do Ibovespa foi obtida pelo Yahoo!Finance no período de 04 de janeiro de 2010 a 28 de dezembro de 2017, de periodicidade diária. Foram utilizadas as séries temporais referentes a cotação do Dólar, além de indicadores numéricos da Análise Técnica como variáveis independentes para compor a predição. Os algoritmos foram desenvolvidos através da linguagem Python usando framework Keras. Para avaliação dos algoritmos foram utilizadas as métricas de desempenho MSE, RMSE e MAPE, além da comparação entre as previsões obtidas e os valores reais. Os resultados das métricas indicam bom desempenho de predição pelo modelo Ensemble proposto, obtendo 70% de acerto no movimento do índice, porém, não conseguiu atingir melhores resultados que as redes MLP e NARX, ambas com 80% de acerto.
Different segments of the financial area, such as the forecast of stock prices, the foreign exchange market, the market indices and the composition of investment portfolio, use machine learning. This work aims to compare and combine two types of machine learning algorithms, the Artificial Neural Network Ensemble method with Multilayer Perceptrons (MLP), auto-regressive with exogenous inputs (NARX) and Long Short-Term Memory (LSTM) for prediction of the Bovespa Index. The Bovespa time series samples were obtained daily, using Yahoo! Finance, from January 4th, 2010 to December 28th, 2017. Dollar quotation, Google trends and numerical indicators of the Technical Analysis were used as independent variables to compose the prediction. The algorithms were developed using Python and Keras framework. Finally, in order to evaluate the algorithms, the MSE, RMSE and MAPE performance metrics, as well as the comparison between the obtained predictions and the actual values, were used. The results of the metrics indicate good prediction performance by the proposed Ensemble model, obtaining a 70% accuracy in the index movement, but failed to achieve better results than the MLP and NARX networks, both with 80% accuracy.
Different segments of the financial area, such as the forecast of stock prices, the foreign exchange market, the market indices and the composition of investment portfolio, use machine learning. This work aims to compare and combine two types of machine learning algorithms, the Artificial Neural Network Ensemble method with Multilayer Perceptrons (MLP), auto-regressive with exogenous inputs (NARX) and Long Short-Term Memory (LSTM) for prediction of the Bovespa Index. The Bovespa time series samples were obtained daily, using Yahoo! Finance, from January 4th, 2010 to December 28th, 2017. Dollar quotation, Google trends and numerical indicators of the Technical Analysis were used as independent variables to compose the prediction. The algorithms were developed using Python and Keras framework. Finally, in order to evaluate the algorithms, the MSE, RMSE and MAPE performance metrics, as well as the comparison between the obtained predictions and the actual values, were used. The results of the metrics indicate good prediction performance by the proposed Ensemble model, obtaining a 70% accuracy in the index movement, but failed to achieve better results than the MLP and NARX networks, both with 80% accuracy.
Descrição
Palavras-chave
Redes neurais artificiais, Previsão séries temporais financeiras, Ensemble de redes neurais, Long short-term memory (LSTM), Artificial neural networks, Financial time series forecast, Ensemble of neural networks