DocumentCode
3208030
Title
Forecasting the IBOVESPA using NARX networks and random walk model
Author
Oliveira, Eleonora Ma Jesus ; Ludermir, Teresa B.
Author_Institution
Centro de Informatica, Fed. Univ. of Pernambuco, Recife, Brazil
fYear
2002
fDate
2002
Firstpage
115
Abstract
The objective of this work was to apply an important class of nonlinear systems for discrete time, called NARX networks, to carry through accurate forecasts of the daily maximum price series in the IBOVESPA, since it depends on random, nonlinear and multivariate factors, making it difficult to forecast using the conventional techniques.
Keywords
autoregressive processes; financial data processing; neural nets; random processes; stock markets; time series; IBOVESPA; daily maximum price; discrete time systems; financial market; multivariate nonlinear systems; neural networks; time series forecast; Delay effects; Least squares methods; Manipulator dynamics; Neural networks; Neurons; Newton method; Nonlinear systems; Predictive models; Recursive estimation; Surges;
fLanguage
English
Publisher
ieee
Conference_Titel
Neural Networks, 2002. SBRN 2002. Proceedings. VII Brazilian Symposium on
Print_ISBN
0-7695-1709-9
Type
conf
DOI
10.1109/SBRN.2002.1181449
Filename
1181449
Link To Document