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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