Non-stationary neural network for stock return prediction.
Steven Y. K. WongJennifer S. K. ChanLamiae AziziRichard Y. D. XuPublished in: CoRR (2020)
Keyphrases
- non stationary
- neural network
- stock price
- financial time series
- prediction model
- prediction accuracy
- stock market
- artificial neural networks
- adaptive algorithms
- autoregressive
- multi layer perceptron
- elman network
- concept drift
- radial basis function
- fractional brownian motion
- financial markets
- back propagation
- white noise
- long term
- change point detection