Accuracy of MLP based data visualization used in oil prices forecasting task

Abstract

We investigate accuracy, neural network complexity and sample size problem in multilayer perceptron (MLP) based (neuro-linear) feature extraction. For feature extraction we use weighted sums calculated in hidden units of the MLP based classifier. Extracted features are utilized for data visualisation in 2D and 3D spaces and interactive formation of the pattern classes. We show analytically how complexity of feature extraction algorithm depends on the number of hidden units. Sample size - complexity relations investigated in this paper showed that reliability of the neuro-linear feature extraction could become extremely low if number of new features is too high. Visual interactive inspection of data projection may help an investigator to look differently at the forecasting problem of the financial time series. © Springer-Verlag Berlin Heidelberg 2005.