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Erschienen in:
2015 | OriginalPaper | Buchkapitel
Improving Financial Time Series Prediction Through Output Classification by a Neural Network Ensemble
verfasst von : Felipe Giacomel, Adriano C. M. Pereira, Renata Galante
Erschienen in: Database and Expert Systems Applications
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Abstract
One topic of great interest in the literature is time series prediction. This kind of prediction, however, does not have to provide the exact future values every time: in some cases, knowing only time series future tendency is enough. In this paper, we propose a neural network ensemble that receives as input the last values from a time series and returns not its future values, but a prediction that indicates whether the next value will raise or fall down. We perform exhaustive experiments to analyze our method by using time series extracted from the North American stock market, and evaluate the hit rate and amount of profit that could be obtained by performing the operations recommended by the system. Evaluation results show capital increases up to 56 %.