Time Dependent Directional Profit Model for Financial Time Series Forecasting

  title={Time Dependent Directional Profit Model for Financial Time Series Forecasting},
  author={Jingtao Yao and Chew Lim Tan},
Goodness-of-t is the most popular criterion for neural network time series forecasting. In the context of nancial time series forecasting, we are not only concerned at how good the forecasts t their targets, but we are more interested in proots. In order to increase the forecastability in terms of proot earning, we propose a proot based adjusted weight factor for backpropagation network training. Instead of using the traditional least squares error, we add a factor which contains the proot… CONTINUE READING

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