![](/images/graphics-bg.png)
Nonlinear Autoregressive Neural Network and Extended Kalman Filters for Prediction of Financial Time Series
Joint Authors
Namir, Abdelwahed
Benrhmach, Ghassane
Namir, Khalil
Bouyaghroumni, Jamal
Source
Journal of Applied Mathematics
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-04-27
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
Time series analysis and prediction are major scientific challenges that find their applications in fields as diverse as finance, biology, economics, meteorology, and so on.
Obtaining the method with the least prediction error is one of the difficult problems of financial market and investment analysts.
State space modelling is an efficient and flexible method for statistical inference of a broad class of time series and other data.
The neural network is an important tool for analyzing time series especially when it is nonlinear and nonstationary.
Essential tools for the study of Box-Jenkins methodology, neural networks, and extended Kalman filter were put together.
We examine the use of the nonlinear autoregressive neural network method as a prediction technique for financial time series and the application of the extended Kalman filter algorithm to improve the accuracy of the model.
As application on a real example, we are analyzing the time series of the daily price of steel over a 790-day period for establishing the superiority of this method over other existing methods.
The simulation results using MATLAB and R software show that the model is capable of producing a reasonable accuracy.
American Psychological Association (APA)
Benrhmach, Ghassane& Namir, Khalil& Namir, Abdelwahed& Bouyaghroumni, Jamal. 2020. Nonlinear Autoregressive Neural Network and Extended Kalman Filters for Prediction of Financial Time Series. Journal of Applied Mathematics،Vol. 2020, no. 2020, pp.1-6.
https://search.emarefa.net/detail/BIM-1174531
Modern Language Association (MLA)
Benrhmach, Ghassane…[et al.]. Nonlinear Autoregressive Neural Network and Extended Kalman Filters for Prediction of Financial Time Series. Journal of Applied Mathematics No. 2020 (2020), pp.1-6.
https://search.emarefa.net/detail/BIM-1174531
American Medical Association (AMA)
Benrhmach, Ghassane& Namir, Khalil& Namir, Abdelwahed& Bouyaghroumni, Jamal. Nonlinear Autoregressive Neural Network and Extended Kalman Filters for Prediction of Financial Time Series. Journal of Applied Mathematics. 2020. Vol. 2020, no. 2020, pp.1-6.
https://search.emarefa.net/detail/BIM-1174531
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1174531