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Erschienen in:
1995 | OriginalPaper | Buchkapitel
Multivariate Time Series Modelling of Financial Markets with Artificial Neural Networks
verfasst von : Thomas Ankenbrand, Marco Tomassini
Erschienen in: Artificial Neural Nets and Genetic Algorithms
Verlag: Springer Vienna
Enthalten in: Professional Book Archive
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This work presents an integrated approach for modelling the behaviour of financial markets with Artificial Neural Networks (ANNs). The model allows to forecast financial time series. Its originality lies in the fact that it is based on statistics and macroeconomics principles and it integrates fundamental economic knowledge in a multivariate nonlinear time series ANN model. The model is applied to real-life case studies and the results are discussed.