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
Link To Document