Title :
Pareto multiobjective nonlinear regression modelling to aid CAPM analogous forecasting
Author :
Fieldsend, Jonathan E. ; Singh, Sameer
Author_Institution :
Dept. of Comput. Sci., Exeter Univ., UK
fDate :
6/24/1905 12:00:00 AM
Abstract :
Recent studies confront the problem of multiple error terms through summation. However, this implicitly assumes prior knowledge of the problem´s error surface. This study constructs a population of Pareto optimal neural network regression models to describe a market generation process in relation to the forecasting of its risk and return
Keywords :
financial data processing; forecasting theory; neural nets; optimisation; risk management; stock markets; time series; Pareto optimal regression models; capital asset pricing model; multiobjective nonlinear regression; multiple error terms; neural network; return forecasting; risk forecasting; stock market; summation; time series forecasting; Casting; Computer errors; Computer science; Econometrics; Economic forecasting; Euclidean distance; Input variables; Neural networks; Predictive models; Smoothing methods;
Conference_Titel :
Neural Networks, 2002. IJCNN '02. Proceedings of the 2002 International Joint Conference on
Conference_Location :
Honolulu, HI
Print_ISBN :
0-7803-7278-6
DOI :
10.1109/IJCNN.2002.1005503
