Input data reduction for the prediction of financial time series
(2001) ESANN′2001. 9th European Symposium on Artificial Neural Networks — Location: Bruges, Belgium (25.April.2012)
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- Abstract
- The prediction of financial time series using artificial neural networks has been the subject of many publications, even if the predictability of financial series remains a subject of scientific debate in the financial literature. Facing this difficulty, analysts often consider a large number of exogenous indicators, which makes the fitting of neural networks extremely difficult. In this paper, we analyse how to aggregate a large number of indicators into a smaller number using (possibly nonlinear) projection methods. Nonlinear projection methods are shown to be equivalent to linear principal component analysis when the prediction tool used on the new variables is linear. The methodology developed in this paper is validated on data from the BEL20 (Belgian top-20) market index.
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Citations
Lendasse, A., Lee, J., de Bodt, E., Wertz, V., & Verleysen, M. (2001). Input data reduction for the prediction of financial time series. In Verleysen, M.; (ed.), 9th European Symposium on Artificial Neural Networks. ESANN′2001.Proceedings (p. p. 237-244). D-facto. https://hdl.handle.net/2078.5/230443