Forecasting the IBOVESPA using NARX networks and random walk model

The objective of this work was to apply an important class of nonlinear systems for discrete time, called NARX networks, to carry through accurate forecasts of the daily maximum price series in the IBOVESPA, since it depends on random, nonlinear and multivariate factors, making it difficult to forec...

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Bibliographic Details
Main Authors: Oliveira, E.M.J., Ludermir, T.B.
Format: Conference Proceeding
Language:English
Subjects:
Delay effects
Least squares methods
Manipulator dynamics
Neural networks
Neurons
Newton method
Nonlinear systems
Predictive models
Recursive estimation
Surges
Online Access:Request full text
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Summary:The objective of this work was to apply an important class of nonlinear systems for discrete time, called NARX networks, to carry through accurate forecasts of the daily maximum price series in the IBOVESPA, since it depends on random, nonlinear and multivariate factors, making it difficult to forecast using the conventional techniques.
DOI:10.1109/SBRN.2002.1181449