Performance evaluation of deep neural networks for forecasting time-series with multiple structural breaks and high volatility.
Shikhar JainRohit KaushikSiddhant JainTirtharaj DashPublished in: CoRR (2019)
Keyphrases
- neural network
- financial time series
- garch model
- stock market
- weather forecasting
- turning points
- pattern recognition
- exchange rate
- stock price
- back propagation
- prediction model
- multiple layers
- structural information
- backpropagation neural networks
- multivariate time series
- arma model
- exponential smoothing
- mackey glass
- short term prediction
- forecasting accuracy
- financial data
- non stationary
- fuzzy logic
- support vector
- learning algorithm