Simple ensemble-averaging model based on generalized regression neural network in financial forecasting problems

IEEE 2000 Adaptive Systems for Signal Processing, Communications, and Control Symposium, AS-SPCC 2000

Volumn , Issue , 2000, Pages 477-480

  Disorntetiwat, P ^a   Dagli, C H ^a  

^a MISSOURI UNIVERSITY OF SCIENCE AND TECHNOLOGY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ADAPTIVE SYSTEMS; FINANCE; MEAN SQUARE ERROR; NEURAL NETWORKS; SIGNAL PROCESSING;

COMMITTEE MACHINES; CURRENCY EXCHANGE RATES; ENSEMBLE AVERAGING; FINANCIAL FORECASTING; GENERALIZED REGRESSION NEURAL NETWORKS; PREDICTIVE ABILITIES; ROOT MEAN SQUARED ERRORS; STANDARD DEVIATION;

ADAPTIVE CONTROL SYSTEMS;

EID: 84962473538     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ASSPCC.2000.882522     Document Type: Conference Paper

References (15)

1. Apostolos-Paul N. Refenes, A. Neil Burgess, and Yves Bentz, Neural Network in Financial Engineering: A Study in Methodology, IEEE Transactions on Neural networks, Vol. 8, No. 6, November 1997.
2. Wasserman Philip D., Advanced Methods In Neural Network, Van Nostrand Reinhold, pp. 147-158, 1993.
3. Haykin Simon, Neural Networks, A Comprehensive foundation, Prentice Hall, Inc., pp. 351-357, 1999.
4. Zayed Ahmed I., Handbook of Function and Generalized Function Transformations, CRC Press, Inc., 1996.
5. Kim Steven H., Chun Se Hak, Graded forecasting using an array of bipolar predictions: application of probabilistic neural networks to a stock market index, International Journal of Forecasting, Vol. 14, No. 3, pp. 323-337, 1998
6. Gately Edward, Neural Network for Financial Forecasting, John Wiley & Sons, Inc., 1996
7. Olmeda Ignacio, Fernandez Eugenio, Hybrid Classifiers for Financial Multi-criteria Decision Making: The Case of Bankruptcy Prediction, Computational Economics, Vol. 10, No. 4, pp. 317-335, 1997.
8. Qi Min, Financial Applications of Artificial Neural Networks, Handbook of Statistics, Vol. 14, pp.523-551, 1996
9. Chorafas Dimitris N., Chaos Theory in the Financial Markets, Irwin Professional Publishing, 1994.
10. Jang J.S., Sun C.T., Mizutani E., Neuro-Fuzzy and Soft Computing: A Computational Approach to Learning and Machine Intelligence, Prentice Hall, Inc., 1997.
11. Franses P.H., Homelen P.V., On Forecasting Exchange Rates Using Neural Networks, Applied Financial Economics, Vol. 8, No. 6, pp. 589-596, 1998.
12. Plasmans Joseph, Verkooijen William, Estimating Structural Exchange Rate Models by Artificial Neural Networks, Applied Financial Economics, Vol. 8, No. 5, pp. 541-551, 1998
13. Desai Vijay S., The Efficacy of Neural Networks in Predicting Returns on Stock and Bond Indices, Decision Sciences, Vol. 29, No. 2, pp. 405-425, 1998
14. Tenti Paolo, Forecasting Foreign Exchange Rates Using Recurrent Neural Networks, Applied Artificial Intelligence, pp. 567-581, 1996.
15. Abhyankar A., Copeland L.S., Wong W., Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, The DAX, The Nikkei 225, and the FTSE-100, Journal of Business & Economic Statistics, Vol. 15, No. 1, pp. 1-14, 1997.