Title :
Forecasting real time financial series
Author_Institution :
Coll. of Bus. Adm., Kent State Univ., OH, USA
fDate :
6/24/1905 12:00:00 AM
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;
Conference_Titel :
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-7278-6
DOI :
10.1109/IJCNN.2002.1005501
