VAR-GRU: A Hybrid Model for Multivariate Financial Time Series Prediction.
Lkhagvadorj MunkhdalaiMeijing LiNipon Theera-UmponSansanee AuephanwiriyakulKeun Ho RyuPublished in: ACIIDS (2) (2020)
Keyphrases
- hybrid model
- artificial neural networks
- multivariate time series
- support vector regression
- autoregressive conditional heteroscedasticity
- hybrid models
- non stationary
- back propagation neural network
- stock price
- risk management
- financial markets
- neural network model
- recurrent neural networks
- neuro fuzzy
- regression model
- neural network
- portfolio optimization
- decision making
- function approximation
- stock market
- robust optimization
- risk measures
- genetic algorithm
- back propagation
- feed forward
- data mining
- support vector machine svm
- prediction model
- support vector
- financial data
- categorical data
- autoregressive
- temporal patterns
- arima model