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Hybridization on Ensemble Kalman Filter and Non-Linear Auto-Regressive Neural Network for Financial Forecasting

Abdulkadir, Said Jadid and Yong, Suet-Peng and Marimuthu, Maran and Lai, Fong Woon (2014) Hybridization on Ensemble Kalman Filter and Non-Linear Auto-Regressive Neural Network for Financial Forecasting. [Citation Index Journal]

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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 longterm 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.

Item Type:Citation Index Journal
Subjects:H Social Sciences > HG Finance
Academic Subject One:Corporate Finance
Departments / MOR / COE:Mission Oriented Research > Megacities
ID Code:12067
Deposited By: Dr Maran Marimuthu
Deposited On:20 Mar 2017 00:31
Last Modified:20 Mar 2017 00:31

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