About: Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm

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About: Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://advances.utc.sk/index.php/AEEE/index
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 approach into 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. 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 approach into 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. (en)
Title	Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm (en)
skos:prefLabel	Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm Financial time series modelling with hybrid model based on customized RBF neural network combined with genetic algorithm (en)
skos:notation	RIV/61989100:27510/14:86091167!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(EE2.3.20.0296)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Marček, Dušan
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	16823
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86091167
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	USD/CAD; Time series; RBF; Hybrid model; Genetic algorithm; Artificial neural network (en)
http://linked.open.../riv/klicoveSlovo	Hybrid model Artificial neural network RBF Time series Genetic algorithm USD/CAD
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[188D7951B2CA]
http://linked.open...i/riv/nazevZdroje	Advances in Electrical and Electronic Engineering
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	12
http://linked.open...iv/tvurceVysledku	Marček, Dušan Falát, Lukáš
issn	1336-1376
number of pages	11 (xsd:int)
http://bibframe.org/vocab/doi	10.15598/aeee.v12i4.1206
http://localhost/t...ganizacniJednotka	27510

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