Financial Time Series Prediction Using Elman Recurrent Random Neural Networks
Joint Authors
Wang, Jie
Fang, Wen
Niu, Hongli
Wang, Jun
Source
Computational Intelligence and Neuroscience
Issue
Vol. 2016, Issue 2016 (31 Dec. 2015), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-05-18
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
In recent years, financial market dynamics forecasting has been a focus of economic research.
To predict the price indices of stock markets, we developed an architecture which combined Elman recurrent neural networks with stochastic time effective function.
By analyzing the proposed model with the linear regression, complexity invariant distance (CID), and multiscale CID (MCID) analysis methods and taking the model compared with different models such as the backpropagation neural network (BPNN), the stochastic time effective neural network (STNN), and the Elman recurrent neural network(ERNN), the empirical results show that the proposed neural network displays the best performance among these neural networks in financial time series forecasting.
Further, the empirical research is performed in testing the predictive effects of SSE, TWSE, KOSPI, and Nikkei225 with the established model, and the corresponding statistical comparisons of the above market indices are also exhibited.
The experimental results show that this approach gives good performance in predicting the values from the stock market indices.
American Psychological Association (APA)
Wang, Jie& Wang, Jun& Fang, Wen& Niu, Hongli. 2016. Financial Time Series Prediction Using Elman Recurrent Random Neural Networks. Computational Intelligence and Neuroscience،Vol. 2016, no. 2016, pp.1-14.
https://search.emarefa.net/detail/BIM-1099687
Modern Language Association (MLA)
Wang, Jie…[et al.]. Financial Time Series Prediction Using Elman Recurrent Random Neural Networks. Computational Intelligence and Neuroscience Vol. 2016, no. 2016 (2015), pp.1-14.
https://search.emarefa.net/detail/BIM-1099687
American Medical Association (AMA)
Wang, Jie& Wang, Jun& Fang, Wen& Niu, Hongli. Financial Time Series Prediction Using Elman Recurrent Random Neural Networks. Computational Intelligence and Neuroscience. 2016. Vol. 2016, no. 2016, pp.1-14.
https://search.emarefa.net/detail/BIM-1099687
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1099687