Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Computational intelligence methods for financial time series modeling
AU - Pavlidis, Nicos
AU - Tasoulis, Dimitrios K
AU - Plagianakos, Vassilis P.
AU - Vrahatis, Michael N.
PY - 2006/7
Y1 - 2006/7
N2 - In this paper, the combination of unsupervised clustering algorithms with feedforward neural networks in exchange rate time series forecasting is studied. Unsupervised clustering algorithms have the desirable property of deciding on the number of partitions required to accurately segment the input space during the clustering process, thus relieving the user from making this ad hoc choice. Combining this input space partitioning methodology with feedforward neural networks acting as local predictors for each identified cluster helps alleviate the problem of nonstationarity frequently encountered in real-life applications. An improvement in the one-step-ahead forecasting accuracy was achieved compared to a global feedforward neural network model for the time series of the exchange rate of the German Mark to the US Dollar.
AB - In this paper, the combination of unsupervised clustering algorithms with feedforward neural networks in exchange rate time series forecasting is studied. Unsupervised clustering algorithms have the desirable property of deciding on the number of partitions required to accurately segment the input space during the clustering process, thus relieving the user from making this ad hoc choice. Combining this input space partitioning methodology with feedforward neural networks acting as local predictors for each identified cluster helps alleviate the problem of nonstationarity frequently encountered in real-life applications. An improvement in the one-step-ahead forecasting accuracy was achieved compared to a global feedforward neural network model for the time series of the exchange rate of the German Mark to the US Dollar.
KW - Time series modeling and prediction
KW - unsupervised clustering
KW - Neural networks
U2 - 10.1142/S0218127406015891
DO - 10.1142/S0218127406015891
M3 - Journal article
VL - 16
SP - 2053
EP - 2062
JO - International Journal of Bifurcation and Chaos
JF - International Journal of Bifurcation and Chaos
SN - 0218-1274
IS - 7
ER -