About: Wavelet Neural Networks Prediction of Central European Stock Markets

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we apply neural network with denoising layer method for forecasting of Central European Stock Exchanges, namely Prague, Budapest and Warsaw. Hard threshold denoising with Daubechies 6 wavelet filter and three level decomposition is used to denoise the stock index returns, and two-layer feed-forward neural network with Levenberg-Marquardt learning algorithm is used for modeling. The results show that wavelet network structure is able to approximate the underlying process of considered stock markets better that multilayered neural network architecture without using wavelets. Further on we discuss the impact of structural changes of the market on forecasting accuracy, and we find that for certain periods the one-step-ahead prediction accuracy of the direction of the stock index can reach 60% to 70%. In this paper we apply neural network with denoising layer method for forecasting of Central European Stock Exchanges, namely Prague, Budapest and Warsaw. Hard threshold denoising with Daubechies 6 wavelet filter and three level decomposition is used to denoise the stock index returns, and two-layer feed-forward neural network with Levenberg-Marquardt learning algorithm is used for modeling. The results show that wavelet network structure is able to approximate the underlying process of considered stock markets better that multilayered neural network architecture without using wavelets. Further on we discuss the impact of structural changes of the market on forecasting accuracy, and we find that for certain periods the one-step-ahead prediction accuracy of the direction of the stock index can reach 60% to 70%. (en) Vlnové neurálních sítě předvídající centrální evropský trh s cennými papíry (cs)
Title	Wavelet Neural Networks Prediction of Central European Stock Markets Vlnové neurálních sítě předvídající centrální evropský trh s cennými papíry (cs) Wavelet Neural Networks Prediction of Central European Stock Markets (en)
skos:prefLabel	Wavelet Neural Networks Prediction of Central European Stock Markets Vlnové neurálních sítě předvídající centrální evropský trh s cennými papíry (cs) Wavelet Neural Networks Prediction of Central European Stock Markets (en)
skos:notation	RIV/67985556:_____/08:00311416!RIV09-GA0-67985556
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GA402/06/1417), P(GP402/08/P207), S, Z(AV0Z10750506), Z(MSM0021620841)
http://linked.open...vai/riv/dodaniDat	2009
http://linked.open...aciTvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	405566
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/08:00311416
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	neural networks; hard threshold denoising; wavelets (en)
http://linked.open.../riv/klicoveSlovo	wavelets neural networks hard threshold denoising
http://linked.open...ontrolniKodProRIV	[B0730C203B60]
http://linked.open...v/mistoKonaniAkce	Tatranská Lomnica
http://linked.open...i/riv/mistoVydani	Bratislava
http://linked.open...i/riv/nazevZdroje	Quantitative Methods in Economics: Multiple Criteria Decision making XIV
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Analysis of the Heterogeneous Agents Models in Finance Mathematical modeling of the microstructure of the financial markets with the non-synchronous trading
http://linked.open...UplatneniVysledku	2008
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2008-07-05 (xsd:date)
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Development of the Czech Society in the EU: challenges and risks
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Ekonomická univerzita v Bratislave
https://schema.org/isbn	978-80-8078-217-7

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