Financial Forecasting through Unsupervised Clustering and Evolutionary Trained Neural Networks (2003)
| Venue: | Proceedings of the Congress on Evolutionary Computation (CEC |
| Citations: | 9 - 5 self |
BibTeX
@INPROCEEDINGS{Pavlidis03financialforecasting,
author = {N. G. Pavlidis and D. K. Tasoulis and M. N. Vrahatis},
title = {Financial Forecasting through Unsupervised Clustering and Evolutionary Trained Neural Networks},
booktitle = {Proceedings of the Congress on Evolutionary Computation (CEC},
year = {2003},
pages = {2314--2321}
}
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Abstract
This paper presents a time series forecasting methodology and applies it to generate one--step-- ahead predictions for the daily foreign exchange spot rates. The methodology draws from the disciplines of chaotic time series analysis, clustering, artificial neural networks and evolutionary computation. In brief, clustering is applied to identify neighborhoods in the reconstructed state space of the system; and subsequently neural networks are trained to model the dynamics of each neighborhood separately. The results obtained through this approach are promising.
