Title :
A RPCL-CLP architecture for financial time series forecasting
Author :
Cheung, Yiu Ming ; Wai Man Leung ; Xu, Lei
Author_Institution :
Dept. of Comput. Sci. & Eng., Chinese Univ. of Hong Kong, Shatin, Hong Kong
Abstract :
In this paper, we propose a new architecture based on the rival penalized competitive learning algorithm (RPCL) of Xu, Krzyzak and Oja (1993) and combined linear prediction method (CLP). The performance of RPCL-CLP is insensitive to the initial number of cluster nodes selected. Experimental results show that it is robust in long-term prediction for financial time series forecasting
Keywords :
finance; forecasting theory; time series; unsupervised learning; RPCL-CLP architecture; combined linear prediction method; financial time series forecasting; long-term prediction; rival penalized competitive learning algorithm; Clustering algorithms; Computer architecture; Computer science; Lungs; Power capacitors; Prediction methods; Predictive models; Robustness; Testing; Vectors;
Conference_Titel :
Neural Networks, 1995. Proceedings., IEEE International Conference on
Conference_Location :
Perth, WA
Print_ISBN :
0-7803-2768-3
DOI :
10.1109/ICNN.1995.487525
