Financial time series prediction using spiking neural networks

Methodology based on spiking neural networks for univariate time-series forecasting

Spiking Neural Networks (SNN) are recognised as well-suited for processing spatiotemporal information with ultra-low energy consumption. However, proposals based on SNN for classification tasks are more common than for forecasting problems. In this sense, this paper presents a new general training methodology for univariate time-series forecasting based on SNN. The methodology is focused on one-step ahead forecasting problems and combines a PulseWidth Modulation based encoding-decoding algorithm with a Surrogate Gradient method as supervised training algorithm. In order to validate the generality of the presented methodology sine-wave, 3 UCI and 1 available real-world datasets are used. The results show very satisfactory forecasting results (MAE∈[0.0094,0.2891]) regardless of the characteristics of the dataset or the application field. In addition, weights can be initialised just once to achieve robust results, boosting the advantages of computational and energy cost of SNN.

Forecasting COVID-19 Epidemic Trends by Combining a Neural Network with Rt Estimation

On 31 December 2019, a cluster of pneumonia cases of unknown etiology was reported in Wuhan (China). The cases were declared to be Coronavirus Disease 2019 (COVID-19) by the World Health Organization (WHO). COVID-19 has been defined as SARS Coronavirus 2 (SARS-CoV-2). Some countries, e.g., Italy, France, and the United Kingdom (UK), have been subjected to frequent restrictions for preventing the spread of infection, contrary to other ones, e.g., the United States of America (USA) and Sweden. The restrictions afflicted the evolution of trends with several perturbations that destabilized its normal evolution. Globally, Rt has been used to estimate time-varying reproduction numbers during epidemics. Methods: This paper presents a solution based on Deep Learning (DL) for the analysis and forecasting of epidemic trends in new positive cases of SARS-CoV-2 (COVID-19). It combined a neural network (NN) and an Rt estimation by adjusting the data produced by the output layer of the NN on the related Rt estimation. Results: Tests were performed on datasets related to the following countries: Italy, the USA, France, the UK, and Sweden. Positive case registration was retrieved between 24 February 2020 and 11 January 2022. Tests performed on the Italian dataset showed that our solution reduced the Mean Absolute Percentage Error (MAPE) by 28.44%, 39.36%, 22.96%, 17.93%, 28.10%, and 24.50% compared to other ones with the same configuration but that were based on the LSTM, GRU, RNN, ARIMA (1,0,3), and ARIMA (7,2,4) models, or an NN without applying the Rt as a corrective index. It also reduced MAPE by 17.93%, the Mean Absolute Error (MAE) by 34.37%, and the Root Mean Square Error (RMSE) by 43.76% compared to the same model without the adjustment performed by the Rt. Furthermore, it allowed an average MAPE reduction of 5.37%, 63.10%, 17.84%, and 14.91% on the datasets related to the USA, France, the UK, and Sweden, respectively.

Pulsewidth Modulation-Based Algorithm for Spike Phase Encoding and Decoding of Time-Dependent Analog Data

This article proposes a new spike encoding and decoding algorithm for analog data. The algorithm uses the pulsewidth modulation principles to achieve a high reconstruction accuracy of the signal, along with a high level of data compression. Two benchmark data sets are used to illustrate the method: stock index time series and human voice data. Applications of the method for spiking neural network (SNN) modeling and neuromorphic implementations are discussed. The proposed method would allow the development of new applications of SNNs as regression techniques for predictive time-series modeling.

GABA Regulation of Burst Firing in Hippocampal Astrocyte Neural Circuit: A Biophysical Model

It is now widely accepted that glia cells and gamma-aminobutyric acidergic (GABA) interneurons dynamically regulate synaptic transmission and neuronal activity in time and space. This paper presents a biophysical model that captures the interaction between an astrocyte cell, a GABA interneuron and pre/postsynaptic neurons. Specifically, GABA released from a GABA interneuron triggers in astrocytes the release of calcium (Ca²⁺) from the endoplasmic reticulum via the inositol 1, 4, 5-trisphosphate (IP₃) pathway. This results in gliotransmission which elevates the presynaptic transmission probability rate (PR) causing weight potentiation and a gradual increase in postsynaptic neuronal firing, that eventually stabilizes. However, by capturing the complex interactions between IP₃, generated from both GABA and the 2-arachidonyl glycerol (2-AG) pathway, and PR, this paper shows that this interaction not only gives rise to an initial weight potentiation phase but also this phase is followed by postsynaptic bursting behavior. Moreover, the model will show that there is a presynaptic frequency range over which burst firing can occur. The proposed model offers a novel cellular level mechanism that may underpin both seizure-like activity and neuronal synchrony across different brain regions.

Estimating the Memory Order of Electrocorticography Recordings

OBJECTIVE

This paper presents a data-driven method for estimating the memory order (the average length of the statistical dependence of a given sample on previous samples) of a recorded electrocorticography (ECoG) sequence.

METHODS

The proposed inference method is based on the relationship between the loss in predicting the next sample in a time-series and the dependence of this sample on the previous samples. Specifically, the memory order is estimated to be the number of past samples that minimize the least squares error (LSE) in predicting the next sample. To deal with the lack of an analytical model for ECoG recordings, the proposed method combines a collection of different predictors, thereby achieving LSE at least as low as the LSE achieved by each of the different predictors.

RESULTS

ECoG recordings from six patients with epilepsy were analyzed, and the empirical cumulative density functions (ECDFs) of the memory orders estimated from these recordings were generated, for rest as well as pre-ictal time intervals. For pre-ictal time intervals, the electrodes corresponding to the seizure-onset-zone were separately analyzed. The estimated ECDFs were different between patients and between different types of blocks. For all the analyzed patients, the estimated memory orders were on the order of tens of milliseconds (up to 100 ms).

SIGNIFICANCE

The proposed method facilitates the estimation of the causal associations between ECoG recordings, as these associations strongly depend on the recordings' memory. An improved estimation of causal associations can improve the performance of algorithms that use ECoG recordings to localize the epileptogenic zone. Such algorithms can aid doctors in their pre-surgical planning for the surgery of patients with epilepsy.