Forecasting High Frequency Financial Data: Statistical and Fuzzy Logic RBF ANN Approach
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19240%2F12%3A%230004393" target="_blank" >RIV/47813059:19240/12:#0004393 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Forecasting High Frequency Financial Data: Statistical and Fuzzy Logic RBF ANN Approach
Original language description
Forecast accuracy of economic and financial processes is a popular measure for quantifying the risk in multi-criteria decision making. In this paper, we develop forecasting models based on the statistical (stochastic) methods, sometimes called as hard computing, and on the soft methods using granular computing. To illustrate the forecasting performance of these approaches the learning aspects of RBF networks are presented and an application is included. We show a new approach of function estimation fornonlinear time series model by means of a granular fuzzy logic neural network based on Gaussian activation function with cloud concept. In a comparative study is shown that the presented approach is able to model and predict the high frequency data withreasonable accuracy and more efficient than the statistical methods.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
IN - Informatics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/ED1.1.00%2F02.0070" target="_blank" >ED1.1.00/02.0070: IT4Innovations Centre of Excellence</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 10th International FLINS Conference
ISBN
978-981-4417-73-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
827-832
Publisher name
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Place of publication
Paříž
Event location
Istambul
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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