Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

New Approach to Financial Time Series Forecasting - Quantum Minimization Regularizing BWGC and NGARCH Composite Model

Authors
Bao Rong Chang1, Hsiu Fen Tsai
1Dept. of CSIE, National Taitung University
Corresponding Author
Bao Rong Chang
Available Online October 2006.
DOI
10.2991/jcis.2006.125How to use a DOI?
Keywords
BPNN-weighted GREY-C3LSP prediction, non-linear generalized autoregressive conditional heteroscedasticity, quantum minimization.
Abstract

A hybrid BPNN-weighted GREY-C3LSP prediction (BWGC) is used for resolving the overshooting phenomenon significantly; however, it may lose the localization once volatility clustering occurs. Thus, we propose a compensation to deal with the time-varying variance in the residual errors, that is, incorporating a non-linear generalized autoregressive conditional heteroscedasticity (NGARCH) into BWGC, and quantum minimization (QM) is employed to regularize the smoothing coefficients for both BWGC and NGARCH to effectively improve model’s robustness as well as to highly balance the generalization and the localization.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
10.2991/jcis.2006.125
ISSN
1951-6851
DOI
10.2991/jcis.2006.125How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Bao Rong Chang
AU  - Hsiu Fen Tsai
PY  - 2006/10
DA  - 2006/10
TI  - New Approach to Financial Time Series Forecasting - Quantum Minimization Regularizing BWGC and NGARCH Composite Model
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.125
DO  - 10.2991/jcis.2006.125
ID  - Chang2006/10
ER  -