All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

Statistical/RBF NN framework for high frequency financial data

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F21%3A10249575" target="_blank" >RIV/61989100:27510/21:10249575 - isvavai.cz</a>

  • Result on the web

    <a href="https://www.ekf.vsb.cz/smsis/en/proceedings/past-proceedings/" target="_blank" >https://www.ekf.vsb.cz/smsis/en/proceedings/past-proceedings/</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Statistical/RBF NN framework for high frequency financial data

  • Original language description

    In this paper, we develop and consider the accuracy of forecasting models based on statistical (stochastic) methods and two intelligent methodology based on SVM approach and neural networks by using novel activation function based on the cloud concept with parameters chosen by a grid search. The use of both intelligent methods is useful because there is no knowledge about the relationship between the inputs into the system and its output. The proposed approaches are applied to predict the high frequency time series of the daily EUR/USD exchange rate time series and assess their prediction performance. We showed that intelligent learning methods have more accurate outputs than the statistical one. On the other hand, the statistical GARCH-class models can identify the presence of the leverage effect and to react to the good and bad news. (C) Proceedings of the 14th International Conference on Strategic Management and its Support by Information Systems 2021, SMSIS 2021.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    10200 - Computer and information sciences

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2021

  • 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 14th International Conference Strategic Management and its Support by Information Systems 2021: May 25-26, 2021, Ostrava, Czech Republic

  • ISBN

    978-80-248-4521-0

  • ISSN

    2570-5776

  • e-ISSN

  • Number of pages

    10

  • Pages from-to

    178-187

  • Publisher name

    VŠB - Technical University of Ostrava

  • Place of publication

    Ostrava

  • Event location

    Ostrava

  • Event date

    May 25, 2021

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article