Neural networks in finance and economics forecasting

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	Neural networks in finance and economics forecasting
	Huang, Wei ; Lai, Kin Keung ; Nakamori, Yoshiteru ; Wang, Shouyang; Yu, Lean
	2007-03-01
发表期刊	INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING
ISSN	0219-6220
卷号	6 期号:1 页码:113-140
摘要	Artificial neural networks (ANNs) have been widely applied to finance and economic forecasting as a powerful modeling technique. By reviewing the related literature, we discuss the input variables, type of neural network models, performance comparisons for the prediction of foreign exchange rates, stock market index and economic growth. Economic fundamentals are important in driving exchange rates, stock market index price and economic growth. Most neural network inputs for exchange rate prediction are univariate, while those for stock market index prices and economic growth predictions are multivariate in most cases. There are mixed comparison results of forecasting performance between neural networks and other models. The reasons may be the difference of data, forecasting horizons, types of neural network models and so on. Prediction performance of neural networks can be improved by being integrated with other technologies. Nonlinear combining forecasting by neural networks also provides encouraging results.
关键词	artificial neural networks finance forecasting economic forecasting input variables selection performance comparisons
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS类目	Computer Science, Artificial Intelligence ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Operations Research & Management Science
WOS记录号	WOS:000250861000007
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4253
专题	系统科学研究所
通讯作者	Wang, Shouyang
作者单位	1.Huazhong Univ Sci & Technol, Sch Management, Inst Intelligent Management & Complex Syst, Wuhan 430074, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Peoples R China 3.Hunan Univ, Coll Business Adm, Changsha 410082, Peoples R China 4.Japan Adv Inst Sci & Technol, Sch Knowledge Sci, Ishikawa 9231292, Japan 5.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Huang, Wei,Lai, Kin Keung,Nakamori, Yoshiteru,et al. Neural networks in finance and economics forecasting[J]. INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,2007,6(1):113-140.
APA	Huang, Wei,Lai, Kin Keung,Nakamori, Yoshiteru,Wang, Shouyang,&Yu, Lean.(2007).Neural networks in finance and economics forecasting.INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING,6(1),113-140.
MLA	Huang, Wei,et al."Neural networks in finance and economics forecasting".INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING 6.1(2007):113-140.