Forecasting and trading the EUR/USD exchange rate with stochastic Neural Network combination and time-varying leverage

Decision Support Systems

Volumn 54, Issue 1, 2012, Pages 316-329

  Sermpinis, Georgios ^a   Dunis, Christian ^b   Laws, Jason ^c   Stasinakis, Charalampos ^a  

^a UNIVERSITY OF GLASGOW   (United Kingdom)

^b LIVERPOOL JOHN MOORES UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF LIVERPOOL MANAGEMENT SCHOOL   (United Kingdom)

Author keywords

Forecast combinations; Kalman Filter; LASSO; Leverage; Psi Sigma network; Recurrent Network

Indexed keywords

AUTOREGRESSIVE MOVING AVERAGE MODEL; EMPIRICAL EVIDENCE; EUROPEAN CENTRAL BANK; EXCHANGE RATES; FORECAST COMBINATIONS; FORECASTING PERFORMANCE; INDIVIDUAL PERFORMANCE; LASSO; LEAST ABSOLUTE SHRINKAGE AND SELECTION OPERATORS; LEVERAGE; MULTI LAYER PERCEPTRON; RECURRENT NETWORKS; STATISTICAL ACCURACY; STOCHASTIC NEURAL NETWORK; TIME VARYING; VOLATILITY FORECASTS;

BENCHMARKING; COMMERCE; FINANCE; KALMAN FILTERS; NETWORK ARCHITECTURE; NEURAL NETWORKS;

FORECASTING;

EID: 84868658018     PISSN: 01679236     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.dss.2012.05.039     Document Type: Article

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