Hybridization of Ensemble Kalman Filter and Non-linear Auto-regressive Neural Network for Financial Forecasting

  • Said Jadid Abdulkadir
  • Suet-Peng Yong
  • Maran Marimuthu
  • Fong-Woon Lai
Part of the Lecture Notes in Computer Science book series (LNCS, volume 8891)

Abstract

Financial data is characterized as non-linear, chaotic in nature and volatile thus making the process of forecasting cumbersome. Therefore, a successful forecasting model must be able to capture long-term dependencies from the past chaotic data. In this study, a novel hybrid model, called UKF-NARX, consists of unscented kalman filter and non-linear auto-regressive network with exogenous input trained with bayesian regulation algorithm is modelled for chaotic financial forecasting. The proposed hybrid model is compared with commonly used Elman-NARX and static forecasting model employed by financial analysts. Experimental results on Bursa Malaysia KLCI data show that the proposed hybrid model outperforms the other two commonly used models.

Keywords

chaotic time-series ensemble model non-linear autoregressive network financial forecasting 

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Said Jadid Abdulkadir
    • 1
  • Suet-Peng Yong
    • 1
  • Maran Marimuthu
    • 2
  • Fong-Woon Lai
    • 2
  1. 1.Department of Computer and Information SciencesUniversiti Teknologi PetronasTronohMalaysia
  2. 2.Department of Management and HumanitiesUniversiti Teknologi PetronasTronohMalaysia

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