Optimal partition algorithm of the RBF neural network and its application to financial time series forecasting

doi:10.1007/s00521-004-0439-7

	Optimal partition algorithm of the RBF neural network and its application to financial time series forecasting
	Sun, YF ; Liang, YC ; Zhang, WL ; Lee, HP ; Lin, WZ ; Cao, LJ
	2005-04-01
发表期刊	NEURAL COMPUTING & APPLICATIONS
ISSN	0941-0643
卷号	14 期号:1 页码:36-44
摘要	A novel neural-network-based method of time series forecasting is presented in this paper. The method combines the optimal partition algorithm (OPA) with the radial basis function (RBF) neural network. OPA for ordered samples is used to perform the clustering for the samples. The centers and widths of the RBF neural network are determined based on the clustering. The difference of the objective functions of the clustering is used to adjust the structure of the neural network dynamically. Thus, the number of the hidden nodes is selected adaptively. The method is applied to stock price prediction. The results of numerical simulations demonstrate the effectiveness of the method. Comparisons with the hard c-means (HCM) algorithm show that the proposed OPA method possesses obvious advantages in the precision of forecasting, generalization, and forecasting trends. Simulations also show that the OPA-orthogonal least squares (OPA-OLS) algorithm, which combines OPA with the OLS algorithm, results in better performance for forecasting trends.
关键词	optimal partition algorithm financial time series ordered samples radial basis function neural network stock price prediction
DOI	10.1007/s00521-004-0439-7
收录类别	SCI
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Artificial Intelligence
WOS记录号	WOS:000228978000005
出版者	SPRINGER
引用统计	被引频次：32[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://119.78.100.204/handle/2XEOYT63/10133
专题	中国科学院计算技术研究所期刊论文_英文
通讯作者	Liang, YC
作者单位	1.Inst High Performance Comp, Singapore 117528, Singapore 2.Jilin Univ, Coll Comp Sci & Technol, Changchun 130012, Peoples R China 3.Chinese Acad Sci, Inst Comp Technol, Key Lab Intelligent Informat Proc, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Sun, YF,Liang, YC,Zhang, WL,et al. Optimal partition algorithm of the RBF neural network and its application to financial time series forecasting[J]. NEURAL COMPUTING & APPLICATIONS,2005,14(1):36-44.
APA	Sun, YF,Liang, YC,Zhang, WL,Lee, HP,Lin, WZ,&Cao, LJ.(2005).Optimal partition algorithm of the RBF neural network and its application to financial time series forecasting.NEURAL COMPUTING & APPLICATIONS,14(1),36-44.
MLA	Sun, YF,et al."Optimal partition algorithm of the RBF neural network and its application to financial time series forecasting".NEURAL COMPUTING & APPLICATIONS 14.1(2005):36-44.