Modeling and Forecasting High Frequency Financial Data: Statistical and Neural Approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86086061" target="_blank" >RIV/61989100:27510/13:86086061 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modeling and Forecasting High Frequency Financial Data: Statistical and Neural Approach
Original language description
Forecasting systems are applied which are based on the latest statistical theory and artificial neural networks. The impact of these methods to risk reduction is judged in managerial decision-making. The fundamental question arises whether non-linear methods like neural networks can help modeling any non-linearities being inherent within the estimated statistical model and outperforms statistical modeling approach. The proposed novel neural modeling approach is applied to high frequency time series of USD/CAD exchange rates. Our results show that the proposed neural approach achieves better forecast accuracy on the validation dataset than most available statistical techniques. We also show how the proposed information technology contributes for the people who will make and at the sometime use the forecast in financial institutions, companies, medium and small enterprises
Czech name
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Czech description
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Project
<a href="/en/project/EE2.3.20.0296" target="_blank" >EE2.3.20.0296: Research team for modelling of economic and financial processes at VSB-TU Ostrava</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 10th International Conference on Strategic Management and its Support by Information Systems 2013 : 29th - 30th August, Valašské Meziříčí, Czech Republic
ISBN
978-80-248-3096-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
97-102
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Valašské Meziříčí
Event date
Aug 29, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000324842000009

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