Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86091167" target="_blank" >RIV/61989100:27510/14:86091167 - isvavai.cz</a>
Result on the web
<a href="http://advances.utc.sk/index.php/AEEE/index" target="_blank" >http://advances.utc.sk/index.php/AEEE/index</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.15598/aeee.v12i4.1206" target="_blank" >10.15598/aeee.v12i4.1206</a>
Alternative languages
Result language
angličtina
Original language name
Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm
Original language description
In this paper, authors apply feed-forward artificial neural network (ANN) of RBF type into the process of modelling and forecasting the future value of USD/CAD time series. Authors test the customized version of the RBF and add the evolutionary approachinto it. They also combine the standard algorithm for adapting weights in neural network with an unsupervised clustering algorithm called K-means. Finally, authors suggest the new hybrid model as a combination of a standard ANN and a moving average for error modeling that is used to enhance the outputs of the network using the error part of the original RBF. Using high-frequency data, they examine the ability to forecast exchange rate values for the horizon of one day. To determine the forecasting efficiency, authors perform the comparative out-of-sample analysis of the suggested hybrid model with statistical models and the standard neural network.
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
IN - Informatics
OECD FORD branch
—
Result continuities
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)
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Advances in Electrical and Electronic Engineering
ISSN
1336-1376
e-ISSN
—
Volume of the periodical
12
Issue of the periodical within the volume
1
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
11
Pages from-to
307-317
UT code for WoS article
—
EID of the result in the Scopus database
—