Combining an LSTM neural network with the Variance Ratio Test for time series prediction and operation on the Brazilian stock market.
Caio Mário MesquitaRenato A. de OliveiraAdriano César Machado PereiraPublished in: IJCNN (2020)
Keyphrases
- stock market
- recurrent neural networks
- neural network
- neural network model
- artificial neural networks
- stock price
- short term
- stock exchange
- trading rules
- stock index futures
- stock trading
- financial markets
- prediction model
- financial time series
- non stationary
- stock returns
- financial data
- feed forward
- bp neural network
- neuro fuzzy
- long term
- stock data
- financial news
- chaotic time series
- garch model
- ls svm
- fuzzy logic
- back propagation