DocumentCode
1645931
Title
Forecasting real time financial series
Author
Qi, Min
Author_Institution
Coll. of Bus. Adm., Kent State Univ., OH, USA
Volume
1
fYear
2002
fDate
6/24/1905 12:00:00 AM
Firstpage
377
Lastpage
381
Abstract
The author reports how he generated a set of real time neural network forecasts to win the second place in the Financial Series Competition at the International Joint Conference on Neural Networks in 1999 (IJCNN´99). The accuracy and profitability of his forecasts are evaluated, and the finance implication is discussed. He provides comprehensive evaluation on the accuracy of the forecasts relative to those from the benchmark model of random walk. Various measures of forecasting accuracy, such as MAE, RMSE, and MAPE are used to facilitate the comparison
Keywords
financial data processing; forecasting theory; neural nets; stock markets; time series; financial forecasting; neural network; profit analysis; random walk; real time systems; stock market; time series model; Benchmark testing; Economic forecasting; Educational institutions; Finance; Neural networks; Predictive models; Profitability; Risk analysis; Statistical analysis; Timing;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location
Honolulu, HI
ISSN
1098-7576
Print_ISBN
0-7803-7278-6
Type
conf
DOI
10.1109/IJCNN.2002.1005501
Filename
1005501
Link To Document