Abstract
Introduces an ensemble-averaging model based on a GRNN (generalized regression neural network) for financial forecasting. The model trains all input individually using GRNNs and uses a simple ensemble-averaging committee machine to improve the accuracy performance. In a financial problem, there are many different factors that can effect the asset price movement at different times. An experiment is implemented in two different data sets, S&P 500 index and currency exchange rate. The predictive abilities of the model are evaluated on the basis of root mean squared error, standard deviation and percent direction correctness. The study shows a promising result of the model in both data sets.
Recommended Citation
C. H. Dagli and P. Disorntetiwat, "Simple Ensemble-Averaging Model Based on Generalized Regression Neural Network in Financial Forecasting Problems," Proceedings of the Adaptive Systems for Signal Processing, Communications, and Control Symposium 2000. AS-SPCC. The IEEE 2000, Institute of Electrical and Electronics Engineers (IEEE), Jan 2000.
The definitive version is available at https://doi.org/10.1109/ASSPCC.2000.882522
Meeting Name
Adaptive Systems for Signal Processing, Communications, and Control Symposium 2000. AS-SPCC. The IEEE 2000
Department(s)
Engineering Management and Systems Engineering
Keywords and Phrases
500 Index; S&P; Accuracy; Asset Price Movement; Currency Exchange Rate; Financial Forecasting Problems; Forecasting Theory; Generalized Regression Neural Network; Neural Nets; Percent Direction Correctness; Predictive Abilities; Root Mean Squared Error; Simple Ensemble-Averaging Model; Standard Deviation; Stock Markets
Document Type
Article - Conference proceedings
Document Version
Final Version
File Type
text
Language(s)
English
Rights
© 2000 Institute of Electrical and Electronics Engineers (IEEE), All rights reserved.
Publication Date
01 Jan 2000
