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Financial time series prediction using polynomial pipelined neural networks
16 references·4 citing·51 second hop
Financial time series prediction using polynomial pipelined neural networks (2007)Financial time series prediction using po…Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks (2004)Predicting the exchange trade…FORECASTING FOREIGN EXCHANGE RATES WITH ARTIFICIAL NEURAL NETWORKS: A REVIEW (2004)FORECASTING FOREIGN EXCHANGE …Support vector machine with adaptive parameters in financial time series forecasting (2003)Support vector machine with a…Financial Forecasting Using Support Vector Machines (2001)Financial Forecasting Using S…Forecasting with artificial neural networks: (1998)Forecasting with artificial n…The Application of Neural Networks in the Forecasting of Share Prices (1996)The Application of Neural Net…A threshold model for the French franc/deutschmark exchange rate (1996)A threshold model for the Fre…Currency exchange rate prediction and neural network design strategies (1993)Currency exchange rate predic…Connectionist approach to time series prediction: an empirical test (1992)Connectionist approach to tim…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)Changes in Expected Security …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Asset returns and inflation (1977)Asset returns and inflationSmoothing, Forecasting and Prediction of Discrete Time Series. (1964)Smoothing, Forecasting and Pr…Stock Trading Strategies Based on Deep Reinforcement Learning (2022)Stock Trading Strategies Base…A novel hybrid model based on recurrent neural networks for stock market timing (2020)A novel hybrid model based on…A novel error-output recurrent neural network model for time series forecasting (2019)A novel error-output recurren…Knowledge Management and Acquisition for Smart Systems and Services (2010)Knowledge Management and Acqu…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Managerial Applications of Neural Networks: The Case of Bank Failure Predictions (1992)Financial time series forecasting using support vector machines (2003)Time series forecasting using a hybrid ARIMA and neural network model (2003)DeepAR: Probabilistic forecasting with autoregressive recurrent networks (2019)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Generalized autoregressive conditional heteroskedasticity (1986)Periodic Autoregressive Conditional Heteroscedasticity (1996)Of Smiles and Smirks: A Term Structure Perspective (1999)A test for volatility spillover with application to exchange rates (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Martingales and arbitrage in multiperiod securities markets (1979)Implementing Option Pricing Models When Asset Returns Are Predictable (1995)Economic Risk Factors and Commercial Real Estate Returns (1997)Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions (2006)Stock market prediction system with modular neural networks (1990)Introduction to financial forecasting (1996)Stock market forecasting using hidden Markov model: a new approach (2005)Forecasting daily stock market return using dimensionality reduction (2016)Predicting the direction of stock market prices using tree-based classifiers (2018)Designing a neural network for forecasting financial and economic time series (1996)Application of support vector machines in financial time series forecasting (2001)Financial time series forecasting using independent component analysis and support vector regression (2009)Support vector regression with chaos-based firefly algorithm for stock market price forecasting (2012)Financial time series forecasting with multi-modality graph neural network (2021)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Low frequency filtering and real business cycles (1993)An overview of methods for determining OWA weights (2005)Exponential smoothing: The state of the art—Part II (2006)
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References

  • 1998Forecasting with artificial neural networks:4,225 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1977Asset returns and inflation2,701 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 2003Support vector machine with adaptive parameters in financial time series forecasting1,008 cited
  • 1964Smoothing, Forecasting and Prediction of Discrete Time Series.968 cited
  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 2001Financial Forecasting Using Support Vector Machines392 cited
  • 1989Changes in Expected Security Returns, Risk, and the Level of Interest Rates247 cited
  • 1992Connectionist approach to time series prediction: an empirical test179 cited
  • 2004FORECASTING FOREIGN EXCHANGE RATES WITH ARTIFICIAL NEURAL NETWORKS: A REVIEW146 cited
  • 2004Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks140 cited
  • 1993Currency exchange rate prediction and neural network design strategies135 cited
  • 1996The Application of Neural Networks in the Forecasting of Share Prices

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96 cited
  • 1996A threshold model for the French franc/deutschmark exchange rate91 cited
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