Title :
Multivariate time series prediction based on neural networks applied to stock market
Author :
Yang, Yiwen ; Liu, Guizhong
Author_Institution :
Dept. of Inf. & Commun. Eng., Xi´´an Jiaotong Univ., China
Abstract :
For time series prediction by neural networks, the neural network should take advantage of the relationship between time series, and one time series can then be predicted based on the information provided not only by itself, but also by other related ones. We use neural networks to predict the multivariate time series combined from the open, high, low and close Shanghai Stock Exchange index series
Keywords :
financial data processing; forecasting theory; neural nets; stock markets; time series; Shanghai Stock Exchange; forecasting; index series; multivariate time series; neural network; stock market; Consumer electronics; Data engineering; Delay effects; Delay estimation; Discrete wavelet transforms; Economic forecasting; Neural networks; Neurons; Stock markets; Training data;
Conference_Titel :
Systems, Man, and Cybernetics, 2001 IEEE International Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-7087-2
DOI :
10.1109/ICSMC.2001.972970
