Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization

DOI10.1016/j.ejor.2012.10.020zbMath1292.91196OpenAlexW2124098825MaRDI QIDQ2253530

Christian Dunis, Georgios Sermpinis, Konstantinos Theofilatos, Efstratios F. Georgopoulos, Andreas Karathanasopoulos

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://eprints.gla.ac.uk/71870/1/71870.pdf

zbMATH Keywords

forecastingadaptive radial basis functionpartial swarm optimizationquantitative trading strategies

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Approximation methods and heuristics in mathematical programming (90C59) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites Work

• Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures
• Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets
• Nonlinearity, data-snooping, and stock index ETF return predictability
• A hitchhiker's guide to the techniques of adaptive nonlinear models
• Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters
• A Reality Check for Data Snooping
• Forecasting Performance of Nonlinear Models for Intraday Stock Returns
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