Computational intelligence methods for financial time series modeling

Pavlidis, Nicos and Tasoulis, Dimitrios K and Plagianakos, Vassilis P. and Vrahatis, Michael N. (2006) Computational intelligence methods for financial time series modeling. International Journal of Bifurcation and Chaos, 16 (7). 2053–2062. ISSN 0218-1274

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In this paper, the combination of unsupervised clustering algorithms with feedforward neural networks in exchange rate time series forecasting is studied. Unsupervised clustering algorithms have the desirable property of deciding on the number of partitions required to accurately segment the input space during the clustering process, thus relieving the user from making this ad hoc choice. Combining this input space partitioning methodology with feedforward neural networks acting as local predictors for each identified cluster helps alleviate the problem of nonstationarity frequently encountered in real-life applications. An improvement in the one-step-ahead forecasting accuracy was achieved compared to a global feedforward neural network model for the time series of the exchange rate of the German Mark to the US Dollar.

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Journal Article
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International Journal of Bifurcation and Chaos
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09 Nov 2011 13:45
Last Modified:
21 Nov 2022 21:50