Stock price and index forecasting by arbitrage pricing theory-based Gaussian TFA learning

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 2412, Issue , 2002, Pages 366-371

  Chiu, Kai Chun ^a   Xu, Lei ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

COSTS; FINANCIAL DATA PROCESSING; FORECASTING;

ARBITRAGE PRICING THEORIES; CONVENTIONAL APPROACH; FINANCIAL MODELING; FINANCIAL TIME SERIES FORECASTING; GAUSSIANS; STOCK PRICE;

FINANCIAL MARKETS;

EID: 84947936853     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/3-540-45675-9_54     Document Type: Conference Paper

References (14)

1. White, H.: Economic prediction using neural networks: The case of ibm daily stock returns. IEEE Int. Conf. on Neural Networks (1988)
2. Schoneburg, E.: Stock prediction using neural networks. Neurocomputing 2 (1990) 17–27
3. Refenes, A.N., Azema-Barac, M., Zapranis, A.D.: Stock ranking: Neural networks vs multiple linear regression. IEEE Int. Conf. on Neural Networks 3 (1993) 1419–1426
4. Giles, C.L., Lawrence, S., Tsoi, A.C.: Rule inference for financial prediction using recurrent neural networks. Proc. of IEEE/IAFE Conf. of Comput. Intell. for Fin. Eng. (1997) 253–259
5. Sagar, V.K., Lee, C.K.: A neural stock price predictor using qualitative and quantitative data. Proc. of 6th Int. Conf. on Neural Information Processing (ICONIP’99) 2 (1999) 831–835
6. Pantazopoulos, K.N., et al.: Financial prediction and trading stragegies using neurofuzzy approaches. IEEE Trans. on Systems, Man and Cybernetics 28 (1998) 520–531
7. Xu, L.: RBF nets, mixture experts, and Bayesian Ying-Yang learning. Neurocomputing 19 (1998) 223–257
8. Kwok, H.Y., Chen, C.M., Xu, L.: Comparison between mixture of ARMA and mixture of AR model with application to time series forecasting. Proc. of 5th Int. Conf. on Neural Information Processing (1998) 1049–1052
9. Xu, L.: Temporal BYY learning for state space approach, hidden markov model and blind source separation. IEEE Trans. on Signal Processing 48 (2000) 2132–2144
10. Ross, S.: The arbitrage theory of capital asset pricing. Journal of Economic Theory 13 (1976) 341–360
11. Xu, L.: BYY harmony learning, independent state space and generalized APT financial analyses. IEEE Transactions on Neural Networks 12 (2001) 822–849
12. Xu, L., Cheung, C.C., Amari, S.I.: Learning parametric mixture based ICA algorithm. Neurocomputing 22 (1997) 69–80
13. Chiu, K.C., Xu, L.: A comparative study of Gaussian TFA learning and statistical tests on the factor number in APT. to appear in Proc. of International Joint Conference on Neural Networks (IJCNN’02) (2002)
14. Xu, L., Krzyzak, A., Oja, E.: Rival penalized competitive learning for clustering analysis, RBF net, and curve detection. IEEE Trans. on Neural Networks 4 (1993) 636–649