Evaluating Neural Network Predictors by Bootstrapping

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Evaluating Neural Network Predictors by Bootstrapping

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Blake LeBaron (University of Wisconsin)
Andreas S. Weigend (University of Colorado)

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Blake Lebaron

Abstract

We present a new method, inspired by the bootstrap, whose goal it is to determine the quality and reliability of a neural network predictor. Our method leads to more robust forecasting along with a large amount of statistical information on forecast performance that we exploit. We exhibit the method in the context of multi-variate time series prediction on financial data from the New York Stock Exchange. It turns out that the variation due to different resamplings (i.e., splits between training, cross-validation, and test sets) is significantly larger than the variation due to different network conditions (such as architecture and initial weights). Furthermore, this method allows us to forecast a probability distribution, as opposed to the traditional case of just a single value at each time step. We demonstrate this on a strictly held-out test set that includes the 1987 stock market crash. We also compare the performance of the class of neural networks to identically bootstrapped linear models.

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Paper provided by EconWPA in its series Finance with number 9411002.

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Date of creation: 14 Nov 1994
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Handle: RePEc:wpa:wuwpfi:9411002

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G - Financial Economics

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July. [Downloadable!] (restricted)

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Estanislao Arana & Pedro Delicado & Luis Martí, 1999. "Validation Procedures in Radiological Diagnostic Models. Neural Network and Logistic Regression," Economics Working Papers 414, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
D. Guégan & L. Mercier, 2005. "Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 137-150, April. [Downloadable!] (restricted)

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