• DocumentCode
    120780
  • Title

    Time series prediction with a non-causal neural network

  • Author

    Yicun Ouyang ; Hujun Yin

  • Author_Institution
    Sch. of Electr. & Electron. Eng., Univ. of Manchester, Manchester, UK
  • fYear
    2014
  • fDate
    27-28 March 2014
  • Firstpage
    25
  • Lastpage
    31
  • Abstract
    Neural networks have been widely applied to time series prediction over past few decades. Generally, applications of them restrict to causal models where current values are dependent on past values. In contrast, a non-causal neural network is proposed in this paper to deal with time series prediction by allowing dependence on future values. Both past and future values are used together for training and prediction. In prediction, future values are the expected values of training samples. In addition, weightings of the past and future values are incorporated into the network to improve prediction performance. Experimental results on benchmark and FX time series show that the proposed network is effective.
  • Keywords
    neural nets; time series; FX time series; future values; noncausal neural network; past values; prediction performance; time series prediction; training samples; Neural networks; Neurons; Predictive models; Standards; Time series analysis; Training; Vectors;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on
  • Conference_Location
    London
  • Type

    conf

  • DOI
    10.1109/CIFEr.2014.6924050
  • Filename
    6924050