Noise Canceling in Volatility Forecasting Using an Adaptive Neural Network Filter

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

improved neural network forecasting models for foreign exchange rates using volatility indices

the emphasis of this paper is the role of volatility indices on improvement artificial neural networks (anns) forecasting models for the daily usd/eur and usd/gbp exchange rates two volatility indices are used. first; the realized volatility, which is based on intra-daily data, and second the garch volatility. they are applied into the model in two ways. firstly, the lagged volatility index is ...

متن کامل

Forecasting Natural Gas Demand Using Meteorological Data: Neural Network Method

The need for prediction and patterns of gas consumption especially in the cold seasons is essential for consumption management and policy planning decision making. In residential and commercial uses which account for the bulk of gas consumption in the country the effects of meteorological variables have the highest impact on consumption.  In the present research four variables include daily ave...

متن کامل

An improved self-adaptive filter forecasting method

This paper improved the selfadaptive filter-forecasting model that is one of deterministic constant parameter forecasting models. An attenuation/gain function is drawn into a direct iteration search method that belongs to the multi-variables extreme value research based on the optimization theory, so that it combines the quantitative methods with the qualitative analysis by the experts and incr...

متن کامل

Design of an Adaptive-Neural Network Attitude Controller of a Satellite using Reaction Wheels

In this paper, an adaptive attitude control algorithm is developed based on neural network for a satellite using four reaction wheels in a tetrahedron configuration. Then, an attitude control based on feedback linearization control is designed and uncertainties in the moment of inertia matrix and disturbances torque have been considered. In order to eliminate the effect of these uncertainties, ...

متن کامل

Forecasting Volatility in Indian Stock Market using Artificial Neural Network with Multiple Inputs and Outputs

Volatility in stock markets has been extensively studied in the applied finance literature. In this paper, Artificial Neural Network models based on various back propagation algorithms have been constructed to predict volatility in the Indian stock market through volatility of NIFTY returns and volatility of gold returns. This model considers India VIX, CBOE VIX, volatility of crude oil returns...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Procedia Computer Science

سال: 2015

ISSN: 1877-0509

DOI: 10.1016/j.procs.2015.09.155