FORECASTING PRICE INCREMENTS USING AN ARTIFICIAL NEURAL NETWORK

DOI10.1142/S0219525901000097MaRDI QIDQ4425250zbMATH OpenFDO

Authors F. Castiglione

Publication date 2001

Published in Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0006486

zbMATH Keywords

detrending analysisfinancial time seriesForecastingneural networks

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Abstract: Financial forecasting is a difficult task due to the intrinsic complexity of the financial system. In the present paper we relate our experience using neural nets as financial time series forecast method. In particular we show that a neural net able to forecast the sign of the price increments with a success rate slightly above 50 percent can be found.

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• Learning representations by back-propagating errors

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