A novel Hybrid RBF Neural Networks model as a forecaster
We introduce a novel predictive statistical modeling technique called Hybrid Radial Basis Function Neural Networks (HRBF-NN) as a forecaster. HRBF-NN is a flexible forecasting technique that integrates regression trees , ridge regression , with radial basis function (RBF) neural networks (NN). We de...
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Veröffentlicht in: | Statistics and computing 2014-05, Vol.24 (3), p.365-375 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We introduce a novel predictive statistical modeling technique called Hybrid Radial Basis Function Neural Networks (HRBF-NN) as a forecaster. HRBF-NN is a flexible forecasting technique that integrates
regression trees
,
ridge regression
, with
radial basis function (RBF) neural networks (NN).
We develop a new computational procedure using model selection based on information-theoretic principles as the fitness function using
the genetic algorithm (GA)
to carry out subset selection of best predictors. Due to the dynamic and chaotic nature of the underlying stock market process, as is well known, the task of generating economically useful stock market forecasts is difficult, if not impossible. HRBF-NN is well suited for modeling complex non-linear relationships and dependencies between the stock indices. We propose HRBF-NN as our forecaster and a predictive modeling tool to study the daily movements of stock indices. We show numerical examples to determine a predictive relationship between the Istanbul Stock Exchange National 100 Index (ISE100) and seven other international stock market indices. We select the best subset of predictors by minimizing the
information complexity
(
ICOMP
) criterion as the fitness function within the GA. Using the best subset of variables we construct out-of-sample forecasts for the ISE100 index to determine the daily directional movements. Our results obtained demonstrate the utility and the flexibility of HRBF-NN as a clever predictive modeling tool for highly dependent and nonlinear data. |
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ISSN: | 0960-3174 1573-1375 |
DOI: | 10.1007/s11222-013-9375-7 |