Time Dependent Directional Profit Model for Financial Time Series Forecasting

@inproceedings{Yao2000TimeDD,
  title={Time Dependent Directional Profit Model for Financial Time Series Forecasting},
  author={Jingtao Yao and Chew Lim Tan},
  booktitle={IJCNN},
  year={2000}
}
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

From This Paper

Topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 15 extracted citations

Pareto evolutionary neural networks

IEEE Transactions on Neural Networks • 2005
View 4 Excerpts
Highly Influenced

The prediction of index in Shanghai stock based on genetic neural network

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) • 2011
View 1 Excerpt

References

Publications referenced by this paper.
Showing 1-9 of 9 references

Zapranis, \Financial Time Series Modeling with Discounted Least Squares

A. N. Refenes, Y. Bentz, D. W. Bunn, A.D.A.N. Burgess
Backpropagation", Neurocomputing, • 1997
View 5 Excerpts
Highly Influenced

Performances Metrics for Neural Network-based Trading System Development

R. B. Caldwell
NeuroVe$t Jour- nal, • 1995
View 10 Excerpts
Highly Influenced

Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

J. M. Hutchinson, A. W. Lo, T. Poggio
The Journal of Finance, • 1994
View 1 Excerpt

Internal Representations by Error Propagation

D. E. Rumelhart, G. E. Hinton, R. J. Williams, Learning
Parallel Distributed Processing, • 1986
View 1 Excerpt

The Accuracy of Extrapolation (Time Series) Methods: Results of a Forecasting Competition

S. Makridakis
Journal of Forecasting, • 1982
View 1 Excerpt

Beyond Regression: New Tools for prediction and analysis in the behavioral Science, PhD Thesis

P. J. Werbos
Harvard University, • 1974
View 1 Excerpt

Similar Papers

Loading similar papers…