TRIANT TECHNOLOGIES sells Modelware-PRO which uses a proprietary algorithm related to nearest-neighbor modeling. One of the strengths of this software is the ability to rapidly turn on, and off, independent variables while modeling rather than having to retrain with a neural network after editing the inputs. There is also a set of tools that are vital for assigning significance to your independent variables. Modelware always converges, unlike neural networks, so you can use this as a non-linear testing ground from which to start your search. It is best to start with a few variables in different forms, then build up the system slowly as the fit improves. Once you have a fairly good fit, then go to a neural network and compare the results.
NGO from Bio-Comp Systems is one of the most user friendly packages to offer both neural networks and genetic algorithms, seemlessly operating in concert to produce models. Most neural network packages don't incorporate genetic algorithms so easily, and it is often added on as a separate subroutine. I honestly have not spent much time with this software but have great plans for it. A seemlessly integrated GA is good because it allows one to take advantage of the ability of GA's to get around 'local minima' that a standard backpropagation ANN will get stuck in, depending upon how the user sets it up.
Ward Systems sells NeuroWindows and Neuroshell The former is very user friendly and the latter is for programmers in the VISUAL BASIC environment. Neuroshell has several add-on packages one of which is a stockmarket package, however I have not purchased this add-on. The beauty of Neurowindows is that you can design and control information flow between different neural networks in real time, allowing feedback and as well as information restriction that can't be accomplished in real time with a standard ANN. Also, one can interface the activity of the ANN with ANY data processing that the user can implement in the VISUAL BASIC environment...and all in real time. They have more recent software with newer algorithms, however, I have not tested any of it....i believe they are called Easy Predictor and Easy Classifyer series software.
Brainmaker from California Scientific Software The original!!! The granpa of neural nets. I have version 2.0 which was probably downloaded to floppies by monks! I don't mean to imply that the software is outdated: it isn't. Check out the newest version. One thing that this package has it a built in Fast Fourier Transform (FFT) for time series (see the discussion on wavelet transforms) which you may want to fool around with.
AIQ Trading Expert and Market Expert. An expert system from AIQ systems. Expert systems incororate the knowledge base of experts in the area of interest into a 'rule' database associated with an algorithm for using the rules. The output of the expert system can be used as inputs in neural networks, as can the standard technical analysis output. Early on I developed networks that used the Expert Ratings from this software as input for ANN's. Essentially this amounts to interfacing and expert system with a ANN, and this is a very interesting area that many people are exploring.
Modelquest from Abtech Corporation Uses 'polynomial nodes' that can be accessed after training. It can be used as a stand alone system or, as in the case of Modelware, it can be used as a search tool since it automatically prunes the dataset based upon its own algorithms for significance of the input data. One can manipulate data fairly quickly similar to Modelware.
TIMESTAT Shareware that can be downloaded from internet that allows one to carry out wavelet transforms and other manipulations on time series. Send some e-mail to kylin@onnes.physics.sunysb.edu, and also mmxp40a@prodigy.com to ask for local and update information. The current version does not have orthogonal bases, which preserve information at the end points of a times series: there is evidence in the literature that much information is contained here, especially with repsect to financial time series. His tutorial specifically addresses the users interest in analysing and predicting financial time series. In the notes for V1.2 the author was talking about future versions that would address this issue, and that was about a year ago. One of the things that can be done with this software is the cleaning up of time series in a way that standard signal processing does not do. Even if essential information about a pure price time series is lost with the transforms in version 1.2, I suspect that it still offers much in the way of signal processing when the networks being developed are not pure price networks.
FRACLAB and Scilab. Software for doing fractal analysis on time series. Beta sign-up for Fraclab for Windows-95 is has been started. Fractals offer yet another point of consideration when it comes to signal processing. Again, the debate regarding determinism in pure price time series may be moot if one is dealing with multiple independent variable in constructing the network, and if one is not relying on fractals to predict anything in and of themselves. The most accessible use of fractal theory is as a new form of input into an ANN. SCILAB is a symbolic math program that can also be downloaded from this site....similar in many respects to Mathematica and MATLAB.
FTP DOWNLOAD of FRACLAB for W95:
ftp.inria.fr, in the directory :
/INRIA/Projects/Fractales/FRACLAB/binary/win95
Just log in using the anonymous FTP protocol. You will need to have SCILAB installed (or MATLAB) before you can run this.
Matlab's Wavelet toolbox Wavelet analysis of time series. Related products include: neural nets, fuzzy logic, signal processing modules.
Chaos Data Analyser Pro. Allows one to search for and, potentially, predict chaotic behavior in a time series. Calculations fo HURST exponents for a time series as well as wavelet analysis. The strength of this software is that it can be used to preprocess the data for a neural network. Physics Academic Software. Many other wonderful programs.
DYNACOMP 1-800-828-6772, 716-265-4040. Math, engineering, and phsics software. FFT software and maybe WT software by now. Many, many good programs (100's) at VERY cheap prices.
SciTech Software Scientific and technical software resource similar to Dynacomp software.
Mathematica software from Wolfram Research. Offers neural network, times series, and signal processing modules for its mathematics software. This is no walk in the park...you'll need to be dedicated an mathematically inclined to make this one worth the investment, however, it's in a class all it's own. It's similar in some respects to MATLAB and Scilab.
SPSS/Diamond for Windows. Allows one to search for data correlations. Plots all your time series against one another automatically to yield a series of 2D and 3D scatter plots. Time lags can be quickly modified. This software should be used to visually spot correlations bewteen groups of inputs. There is a fractal analysis tool that can be used to look for correlations between variables, too.
BCI: Business Cycle IndicatorsBCI econometric data and programs. Domestic and foreign fundamental data for use in econometric modeling. Comes with software that allows for plotting. This is great stuff since it allows one to organize and visualize all the government time series. Drop in at the following link to get the data and skip the program: FRED (Federal Reserve Economic Data) database. Historical econometric data for free from the St. Louis Federal Reserve. Download from their site for free.
MATHWORKS produces MATLAB software. Matlab is a platform which uses various toolboxes ranging from ANN's to wavelet transforms to fuzzy logic. They also have a financial toolbox. See Mathematica software above.
ECON econometric modeling software. ECON Version 3. Econ is shareware forecasting program based upon econometric modeling. It forecasts the direction and likely returns of the stock market for 3, 6, and 12 months into the future. It does the same for T-BILLS and T-BONDS, and makes explicit recommendations about assett allocations among these classes of investments. The data files are maintained by entering about 8 pieces of data from Barron's financial weekly newspaper, although I imagine there are online sources for this data now. When you register you get the newest version of the program which is more sophisticated in its modeling. You also receive a database update and a printed manual.