[PDF][PDF] Financial market time series prediction with recurrent neural networks

A Bernal, S Fok, R Pidaparthi - State College: Citeseer.[Google Scholar], 2012 - Citeseer
A Bernal, S Fok, R Pidaparthi
State College: Citeseer.[Google Scholar], 2012Citeseer
Financial Market Time Series Prediction with Recurrent Neural Networks Page 1 Financial
Market Time Series Prediction with Recurrent Neural Networks Armando Bernal, Sam Fok,
Rohit Pidaparthi December 14, 2012 Abstract We used echo state networks, a subclass of
recurrent neural networks, to predict stock prices of the S&P 500. Our network outperformed a
Kalman filter, predicting more of the higher frequency fluctuations in stock price. The Challenge
of Time Series Prediction Learning from past history is a fudamentality ill-posed. A model may …
Abstract
We used echo state networks, a subclass of recurrent neural networks, to predict stock prices of the S&P 500. Our network outperformed a Kalman filter, predicting more of the higher frequency fluctuations in stock price.
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