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On building inference for the statistical neural network with application to Naira-Dollar exchange rate efficiency : a bootstrap approach
Udomboso, Christopher G.; Saliu, Francisco U. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-14
In this study, we developed an inference procedure for the neural network using the bootstrap approach, and applied it … to the market efficiency of the Nigerian exchange rate. Data used are exchange rate values from 2001 to 2015. We … conducted a test on the market efficiency hypothesis, including test for relevance of individual and joint network inputs using …
Persistent link: https://www.econbiz.de/10011661509
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Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
Teng, Huei-Wen; Li, Yu-Hsien - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 149-182
Persistent link: https://www.econbiz.de/10014251571
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High-frequency CSI300 futures trading volume predicting through the neural network
Xu, Xiaojie; Zhang, Yun - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 26-53
Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...
Persistent link: https://www.econbiz.de/10014497016
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Using recurrent neural networks for the performance analysis and optimization of stochastic milkrun-supplied flow lines
Südbeck, Insa; Mindlina, Julia; Schnabel, André; … - In: Schmalenbach journal of business research : SBUR 76 (2024) 2, pp. 267-291
Long-term throughput, as a key performance indicator of a stochastic flow line, is affected by numerous parameters describing the features of the flow line, such as processing time and buffer size. Fast and accurate evaluation methods for a given set of values for those parameters are a...
Persistent link: https://www.econbiz.de/10014551040
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High-dimensional statistical learning techniques for time-varying limit order book networks
Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021
bootstrap procedure. We document the importance of LOB liquidity network spillovers even for a small blue-chip NASDAQ portfolio. …
Persistent link: https://www.econbiz.de/10012614016
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Ein Vergleich des binären Logit-Modells mit künstlichen neuronalen Netzen zur Insolvenzprognose anhand relativer Bilanzkennzahlen
Franken, Ronald (contributor) - 2007
Die Prognose der Insolvenzgefährdung von Unternehmen anhand statistischer Methodik war und ist eine bedeutende Aufgabe empirischer Forschung. Eine Möglichkeit der Beurteilung der finanziellen bzw. wirtschaftlichen Verfassung von Unternehmen stellt die sog. externe Bilanzanalyse anhand...
Persistent link: https://www.econbiz.de/10003634014
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...
Persistent link: https://www.econbiz.de/10003636113
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Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns
Chen, Shiyi (contributor); Jeong, Kiho (contributor);  … - 2008
Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure to forecast nonlinear ARMA model based simulated data...
Persistent link: https://www.econbiz.de/10003770766
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Anomalous returns in a neural network equity-ranking predictor
Satinover, Jeffrey; Sornette, Didier - 2008
Persistent link: https://www.econbiz.de/10003961709
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Removing systematic patterns in returns in a financial market model by artificially intelligent traders
Witte, Björn-Christopher - 2011
leads to the unpredictability of prices. Further results relate to the influence of pattern exploiters on market efficiency …
Persistent link: https://www.econbiz.de/10009424774