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Usage of Public Business Information for Automatic Trading
Gráca, Martin ; Plchot, Oldřich (referee) ; Černocký, Jan (advisor)
In the era of modern technology and high performance computers, the classical trades model getting insufficient. For successful trading, generating stable profit, it is good to use modern technologies and opportunities. The main goal of this work is to develop a trading system based on modern technologies. This work uses public business data from Edgar database managed by U.S. Securities and Exchange Commission (SEC), historical share´s prices and recurrent neural network to create such model. The final system is able to trade successfully and generate profit.
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Recurrent Neural Networks with Elastic Time Context in Language Modeling
Beneš, Karel ; Veselý, Karel (referee) ; Hannemann, Mirko (advisor)
Tato zpráva popisuje experimentální práci na statistické jazykovém modelování pomocí rekurentních neuronových sítí (RNN). Je zde předložen důkladný přehled dosud publikovaných prací, následovaný popisem algoritmů pro trénování příslušných modelů. Většina z popsaných technik byla implementována ve vlastním nástroji, založeném na knihovně Theano. Byla provedena rozsáhlá sada experimentů s modelem Jednoduché rekurentní sítě (SRN), která odhalila některé jejich dosud nepublikované vlastnosti. Při statické evaluaci modelu byly dosažené výsledky relativně cca. o 2.7 % horší, než nejlepší publikované výsledky. V případě dynamické evaluace však bylo dosaženo relativního zlepšení o 1 %. Dále bylo experimentováno i s modelem Strukturně omezené rekurentní sítě, ale ten se nepodařilo natrénovat k předpokládáným výkonům. Konečně bylo navrženo rozšíření SRN, pojmenované Náhodně prořidlá rekurentní neuronová síť. Experimentálně bylo potvrzeno, že RS-RNN dosahuje lepších výsledků v učení vlastního trénovacího korpusu a kombinace několika RS-RNN modelů přináší o 30 % větší zlepšení než kombinace stejného počtu SRN.
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Machine Learning Strategies in Electronic Trading
Huf, Petr ; Kolář, Martin (referee) ; Černocký, Jan (advisor)
Úspěšné obchodování na trzích je snem mnoha lidí. Zajímavým odvětvím tohoto byznysu je elektronické obchodování, kde obchodní strategie běží na počítači bez jakéhokoliv zásahu člověka. Tento způsob obchodování poskytuje spoustu volného času a vysoké příjmy. Tato práce je zaměřena na využití neuronových sítí při stavbě takovéto obchodní strategie. Jako základ byla použita již existující rekurentní neuronová síť, která byla postupně modifikována podle potřeb pro obchodování. Výsledkem je neuronová síť předpovídající budoucí pohyby trhu. Obchodní strategie používající tuto neuronovou síť dokáže na burze úspěšně obchodovat.
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Prediction of data flow in computer networks
Zvěřina, Lukáš ; Sobek, Jiří (referee) ; Vychodil, Petr (advisor)
The aim of this thesis was to study problems of prediction of data in computer networks. Furthermore, this work deals with network traffic and analyzing its properties. In this study were analyzed the possibilities of network traffic prediction using Farima model, the theory of chaos with Lyapunov exponents and neural networks. Possibilities of prediction with the focus on neural network were discussed in detail here, mainly on recurrent neural networks. Prediction was performed in Matlab development environment in Neural Network Toolbox, where they were created, trained and evaluated neural network to predict specific types of network traffic. For testing were selected Elman network NARX network and general LRN recurrent network. The results were clearly organized into tables and plotted in graphical relationships before and after the use of predictive techniques designed to final evaluation.
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Nonlinear analysis and prediction of network traffic
Člupek, Vlastimil ; Burget, Radim (referee) ; Vychodil, Petr (advisor)
This thesis deal with an analysis of network traffic and its properties. In this thesis are discussed possibilities of prediction network traffic by FARIMA model, theory of chaos with Lyapunov exponent and by neural networks. The biggest attention was dedicated to prediction network traffic by neural networks. In Matlab with using Neural Network Toolbox were created, trained and tested recurrent networks for prediction specific types of network traffics, which was captured on local network. There were choosed Elman network, LRN and NARX network to test the prediction of network traffic, results were discussed. Thesis also introduce area of application ability prediction of network traffic, there is introduce design of system for dynamic allocation bandwidth with particular description of its prediction part. Thesis also states possible use designed system for dynamic allocation of bandwidth.
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Neural network utilization for etwork traffic predictions
Pavela, Radek ; Mačák, Jaromír (referee) ; Kacálek, Jan (advisor)
In this master’s thesis are discussed static properties of network traffic trace. There are also addressed the possibility of a predication with a focus on neural networks. Specifically, therefore recurrent neural networks. Training data were downloaded from freely accessible on the internet link. This is the captured packej of traffic of LAN network in 2001. They are not the most actual, but it is possible to use them to achieve the objective results of the work. Input data needed to be processed into acceptable form. In the Visual Studio 2005 was created program to aggregate the intensities of these data. The best combining appeared after 100 ms. This was achieved by the input vector, which was divided according to the needs of network training and testing part. The various types of networks operate with the same input data, thereby to make more objective results. In practical terms, it was necessary to verify the two principles. Principle of training and the principle of generalization. The first of the nominated designs require stoking training and verification training by using gradient and mean square error. The second one represents unknown designs application on neural network. It was monitored the response of network to these input data. It can be said that the best model seemed the Layer recurrent neural network (LRN). So, it was a solution developed in this direction, followed by searching the appropriate option of recurrent network and optimal configuration. Found a variant of topology is 10-10-1. It was used the Matlab 7.6, with an extension of Neural Network toolbox 6. The results are processed in the form of graphs and the final appreciation. All successful models and network topologies are on the enclosed CD. However, Neural Network toolbox reported some problems when importing networks. In creating this work wasn’t import of network functions practically used. The network can be imported, but the majority appear to be non-trannin. Unsuccessful models of networks are not presented in this master’s thesis, because it would be make a deterioration of clarity and orientation.
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