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An Artificial Neural Network for Data Forecasting Purposes

Listed author(s):
  • Catalina Lucia COCIANU

    ()

  • Hakob GRIGORYAN

    ()

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    Considering the fact that markets are generally influenced by different external factors, the stock market prediction is one of the most difficult tasks of time series analysis. The research reported in this paper aims to investigate the potential of artificial neural networks (ANN) in solving the forecast task in the most general case, when the time series are non-stationary. We used a feed-forward neural architecture: the nonlinear autoregressive network with exogenous inputs. The network training function used to update the weight and bias parameters corresponds to gradient descent with adaptive learning rate variant of the backpropagation algorithm. The results obtained using this technique are compared with the ones resulted from some ARIMA models. We used the mean square error (MSE) measure to evaluate the performances of these two models. The comparative analysis leads to the conclusion that the proposed model can be successfully applied to forecast the financial data.

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    Article provided by Academy of Economic Studies - Bucharest, Romania in its journal Informatica Economica.

    Volume (Year): 19 (2015)
    Issue (Month): 2 ()
    Pages: 34-45

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    Handle: RePEc:aes:infoec:v:19:y:2015:i:2:p:34-45
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    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Giordano, Francesco & La Rocca, Michele & Perna, Cira, 2007. "Forecasting nonlinear time series with neural network sieve bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3871-3884, May.
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