A dv Complex Systems - Machine Learning

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Adv ComplexSystems Forecastingpriceincrementsusinganarti cialNeuralNetworkFILIPPOCASTIGLIONECente rforAdvancedComputerScience UniversityofCologneZPR ZAIK Weyertal D K oln Germanyfilippo zpr uni koeln deABSTRACT Financialforecastingisadi culttaskduetotheintrinsiccom plexityofthe nancialsystem Asimpli edapproachinforecastingisgivenby blackbox methodslikeneuralnetworksthatassumelittl eaboutthestructureoftheeconomy Inthepresentpaperwerelateourexperienceus ingneuralnetsas nancialtimeseriesforecastmethod Inparticularweshowthataneuralnetabletofo recastthesignofthepriceincrementswithasu ccessrateslightlyabove percentcanbefound Targetseriesarethedailyclosingpriceofdi erentassetsandindexesduringtheperiodfrom aboutJanuary toFebruary KEYWORDS Forecasting NeuralNetworks FinancialTimeSeries Detrend ingAnalysis IntroductionForecastingfuturevaluesofana ssetgives besidesthestraightforwardpro topportunities indicationstocomputevariousinteres

ey ertal D K oln German y filippozprunikoe lnde ABSTRA CT ... k index foreign currency etc on the ground of a v ailable historical data corresp onds to the w ... h is probably the most used algorithm to train MLPs Rumelhart Hin ton and William s Rumelhart Hin s It is basically a gradien

  Foreign, Mpls