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Pages: 1072-1080
Head and Associate Professor, Department of Mathematics, Loyola College, Chennai, India.
2
Abstract
In forecasting, the design of an Artificial Neural Network (ANN) is a non-trivial task and choices incoherent
with the problem could lead to instability of the network. So a Genetic Algorithm (GA) approach is used to find
an optimal topology for the prediction. This paper presents a novel approach to Optimization of ANN topology
that uses GA for the forecasting of Indian Stock Prices under Bombay Stock Exchange. After determining the
optimum network determined by GA, forecasting of the stock prices is found by implementing MATLAB tool.
The paper is organized as follows. The first Sectiondeals with the introduction to Genetic Algorithms; Section
two reviews the literature on the optimization of neural network architectures and applications of genetic
algorithms in doing so. Section three gives the proposed approach in the optimization of neural network
architectures. Section four presents the experimental results by the methodology described in section three and
followed by results and conclusion.
Keywords -Artificial Neural Network (ANN); Genetic Algorithm (GA); Optimization.
I.
INTRODUCTION
1072
LITERATURE REVIEW
1073
2
N
SSE ai f i ,
i 1
OF THE
P ROPOSED
(a)Moving Method
(i) Single Hidden Layer Calculations
Here the number of neurons in the single hidden
layer is determined and the optimal network of the
form x H 1 1 is found. The calculations are
shown below.
1074
Network
SSE
Fitness
Function
Pselect
Actual
Count
Mating
Pool
Mate
randomly
selected
Cross
Over
site
New
Population
00011
3-3-1
1.64
0.3718
0.235
01010
1 and 4
00110
00110
3-6-1
1.60
0.3906
0.247
01010
2 and 3
01011
01010
5-10-1
1.56
0.4109
0260
01111
01110
01111
5-15-1
1.57
0.4057
0.257
00110
01010
Sum
6.37
1.579
Network
SSE
Fitness
Function
Pselect
Actual
Count
Mating
Pool
Mate
randomly
selected
Cross
Over
site
New
Population
00110
3-6-1
1.55
0.4162
0.250
01110
1 and 4
01010
01011
3-11-1
1.57
0.4057
0.244
01110
2 and 3
01110
01110
5-14-1
1.52
0.4328
0.260
00110
01011
01010
5-10-1
1.56
0.4109
0.247
01010
00110
Sum
6.20
1.666
Network
SSE
Fitness
Function
Pselect
Actual
Count
Mating
Pool
Mate
randomly
selected
Cross
Over
site
New
Population
01010
3-10-1
1.38
0.5251
0.292
01010
1 and 4
01110
01110
3-14-1
1.56
0.4006
0.229
01010
2 and 3
01011
01011
5-11-1
1.50
0.4109
0.247
01011
01010
00110
5-6-1
1.55
0.4162
0.232
00110
00110
Sum
5.99
1.797
Network
SSE
Fitness Function
01110
3-14-1
1.51
0.4386
01011
3-11-1
2.37
0.1780
01010
5-10-1
1.68
0.3543
00110
5-6-1
1.64
0.3718
Sum
7.20
1.343
1075
Network
SSE
Fitness
Function
Pselect
Actual
Count
Mating Pool
00101-01100
3-5-12-1
1.60
0.3906
0.136
01101-10110
10010-00011
3-18-3-1
1.65
0.3673
0.128
01101-10110
00110-00101
3-6-5-1
2.53
0.1562
0.054
10101-10100
01010-00111
3-10-7-1
1.56
0.4109
0.143
10101-10100
01110-01001
5-14-9-1
1.61
0.3858
0.134
01010-00111
01011-01111
5-11-15-1
2.31
0.1874
0.065
00101-01100
01101-10110
5-13-22-1
1.34
0.5569
0.194
01110-01001
10101-10100
5-21-20-1
1.55
0.4162
0.145
10010-00011
Sum
14.15
2.8714
Actual Value
Date
(in Rs).
(3-10-1)
(5-11-1)
(3-5-20-1)
(5-13-20-1)
17-04-2013
1459.20
1501.73
1497.00
1506.70
1526.12
18-04-2013
1450.70
1480.08
1457.59
1448.71
1490.12
22-04-2013
1425.25
1481.43
1463.32
1451.33
1493.63
23-04-2013
1429.60
1441.46
1420.42
1399.57
1453.75
25-04-2013
1402.10
1420.04
1441.77
1428.57
1439.74
Forecasting
Performance
(3-10-1)
(5-11-1)
(3-5-20-1)
(5-13-20-1)
MAPE
2.20
1.84
1.84
3.29
MAD
31.58
26.332
26.41
47.30
RMSE
35.47
30.28
30.14
50.42
Forecasting Accuracy
(3-10-1)
97.80%
(5-11-1)
98.16%
(3-5-20-1)
98.16%
(5-13-20-1)
96.71%
1076
1540
1520
1500
1480
1460
1440
Actual Value
(3-10-1)
(5-11-1)
1420
1400
1380
1360
(3-5-20-1)
(5-13-20-1)
1340
1320
17-04-2013
18-04-2013
22-04-2013
23-04-2013
25-04-2013
Network Structure
Actual Value
(in Rs).
(3-3-1)
(5-6-1)
(3-9-12-1)
(5-18-9-1)
17-04-2013
1459.20
1451.99
1454.38
1405.41
1429.98
18-04-2013
1450.70
1445.62
1480.93
1407.93
1392.54
22-04-2013
1425.25
1414.52
1389.43
1387.33
1417.36
23-04-2013
1429.60
1426.99
1413.95
1416.20
1432.75
25-04-2013
1402.10
1391.97
1365.33
1372.92
1372.83
Forecasting
Performance
(3-3-1)
(5-6-1)
(3-9-12-1)
(5-18-9-1)
MAPE
0.50
1.73
2.46
1.78
MAD
7.15
24.66
35.41
25.54
RMSE
7.78
27.63
37.92
32.14
Forecasting Accuracy
(3-3-1)
99.50%
(5-6-1)
98.27%
(3-9-12-1)
97.54%
(5-18-9-1)
98.23%
1077
1500
1480
1460
1440
Actual Value
1420
(3-3-1)
1400
(5-6-1)
1380
(3-9-12-1)
1360
(5-18-9-1)
1340
1320
1300
17-04-2013
18-04-2013
22-04-2013
23-04-2013
25-04-2013
Actual
Value
(in Rs).
3-13-1
5-3-1
3-6-5-1
Predicted
Value
Forecasting
Error
Predicted
Value
Forecasting
Error
Predicted
Value
Forecasting
Error
17-04-2013
1459.20
1519.53
4.13%
1441.42
1.22%
1487.02
1.91%
18-04-2013
1450.70
1464.49
0.95%
1428.78
1.51%
1459.66
0.62%
22-04-2013
1425.25
1479.59
3.81%
1411.72
0.95%
1451.17
1.82%
23-04-2013
1429.60
1433.49
0.27%
1424.19
0.38%
1419.03
0.74%
25-04-2013
1402.10
1446.48
3.17%
1388.42
0.98%
1429.72
1.97%
Forecasting Accuracy
(3-13-1)
97.53%
(5-3-1)
98.99%
(3-6-5-1)
98.59%
Forecasting Performance
Optimal Networks
3-13-1
5-3-1
3-6-5-1
MAPE
2.467
1.007
1.410
MAD
35.350
14.465
20.177
RMSE
41.877
15.467
21.911
1078
1550
Actual Value
(3-13-1)
(5-3-1)
(3-6-5-1)
1500
1450
1400
1350
1300
17-04-2013
18-04-2013
22-04-2013
23-04-2013
25-04-2013
Factor Method
Mixed Method
Optimal
Networks
MAPE
Performance
Optimal
Networks
MAPE
Performance
Optimal
Networks
MAPE
Performance
(3-10-1)
2.20
(3-3-1)
0.50
(3-13-1)
2.467
(5-11-1)
1.84
(5-6-1)
1.73
(5-3-1)
1.007
(3-5-20-1)
1.84
(5-18-9-1)
1.78
(3-6-5-1)
1.410
Average
1.96
1.34
1.63
1079
1080