PSO Based Deterministic ESN Models for Stock Price Forecasting

• Published in: Journal of advanced computational intelligence and intelligent informatics Vol. 19; no. 2; pp. 312 - 318
• Main Authors: Dan, Jingpei, Guo, Wenbo, Shi, Weiren, Fang, Bin, Zhang, Tingping
• Format: Journal Article
• Language: English
• Published: 20.03.2015
• ISSN: 1343-0130; 1883-8014
• DOI: 10.20965/jaciii.2015.p0312

Deterministic echo state network (ESN) models integrated with particle swarm optimization (PSO) are proposed to improve the accuracy and efficiency of stock price forecasting. ESNs have been successfully applied to financial time series forecasting because of their efficient and powerful computational ability in approximating nonlinear dynamical systems. However, reservoir construction in standard ESNs is primarily driven by a series of randomized model-building stages, because of which both researchers and practitioners have to rely on a series of trials and errors to determine parameters. An ESN with a deterministically constructed reservoir is comparable in performance to a standard ESN and has minimal complexity as well as potential for optimizations with regard to ESN parameters. In this paper, forecasting performances of the proposed PSO-DESN models are compared with those of standard ESNs for stock price prediction on the benchmark dataset of S&P 500. The comparison results demonstrate that the proposed PSO-DESNs exhibit better performance in stock price forecasting in terms of both accuracy and efficiency, thereby verifying the potential of PSO-DESNs for financial predictions.