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Equity assets volatility modeling and forecasting are fundamental in risk management, portfolio construction, financial decision making and derivative pricing. The use of realized volatility models outperforms GARCH and related stochastic volatility models in out-of-sample forecasting. Gains in performance can be achieved by separately considering volatility jump components. This paper suggests an...
In order to get the excellent accuracy for price forecast in the steel market, the adaptive Radial Basis Function (RBF) Neural Network (NN) model, Back Propagation (BP) NN model and Sliding Window (SW) model are utilized to forecast the price of the steel products in this paper. Eight steel products, which extracted from Shanghai Baoshan steel market of China at January, 2011 to December 2011, are...
Neural Network is a network that resembles a human brain tissue, which may infer a result based on the facts or experience that happened. Many applications have implemented neural network. In this thesis, we compared the stock forecasting result of ANTM (PT Aneka Tam bang) using Artificial Neural Network and ARIMA. ARIMA is a technique of time-series forecasting, which means forecast based on the...
In this paper, we select the Elman neural network method to improve because of its good non-linear effect of disturbance elimination, and present a new exchange rate time series prediction method. We point out a new improved Elman neural network model firstly, and then predict the time series of RMB exchange rate against U. S. dollar. Through the forecasting process, we determine the input variables...
The tolerance and non-stability in financial indexes make changes to other sub-systems like human resources, economics, factory productions and etc. Having underling knowledge and a model to simulate such systems obtains a fine vision to estimate further and calculate hard-decision making tasks before execution like: dept from banks, cash injecting and insurance services. Using Neuro-fuzzy networks...
Exchange rate forecasting involves many challenges in research. Due to the difficulty of selecting superior variables to design a good forecasting mode, few empirical studies have discussed the influence of explainable variables. In this paper, a new forecasting model is constructed; we adopt the particle swarm optimization (PSO) to select the optimal input layer neurons to predict NTD/USD exchange...
In this study, the Grey Relational Analysis (GRA) method is combined with artificial neural networks (ANN) model to create an automatic stock forecasting mechanism. In the proposed approach, the attributes of quarterly datum with the same category are gathered into a specific financial ratio by the GRA method. The categorical data is then input to an ANN model to forecast the future trends of the...
Long-term forecasting of load demand is necessary for the correct operation of electric utilities. There is an on-going attention toward putting new approaches to the task. Recently, Neurofuzzy modeling has played a successful role in various applications over nonlinear time series prediction. This paper presents a neurofuzzy model for long-term load forecasting. This model is identified through Locally...
Forecasting currency exchange rates is an important issue in finance. This topic has received much attention, particularly in econometrics and financial selection of variables that influence forecasts. In this paper, a new forecasting model is constructed: we adopt a Genetic Algorithm (GA) to provide the optimal variables weight and we select the optimal set of variables as the input layer neurons,...
As accurate regional load forecasting is very important for improvement of the management performance of the electric industry, various regional loads forecasting methods have been developed. In this paper we present the development of short term load forecaster using artificial neural network (ANN) models. Three approaches have been undertaken to forecast the load demand up to 24 hours ahead. The...
Malaysia has a good dengue surveillance system but there have been insufficient findings on suitable model to predict future dengue outbreak. This study aims to design a neural network model (NNM) and nonlinear regression model (NLRM) using different architectures and parameters incorporating time series, location and rainfall data to define the best architecture for early prediction of dengue outbreak...
Long-term load forecasting has a vital role in generation, transmission and distribution network planning. Traditional studies for long-term load forecasting were based on regression method, which could not provide a true representation of power system behavior in a volatile electricity market. The purpose of this paper is to introduce two approaches based regression method and artificial neural network...
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