Browsing 8th International Scientific Conference “Business and Management 2014” by Subject "prediction"
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Investigation of exchange market prediction model based on high-low daily data
(8th International Scientific Conference “Business and Management 2014”, 2014)The model of Evolino recurrent neural networks (RNN) based on ensemble for prediction of daily extremes of financial market is investigated. The prediction distributions of each high and lows of daily values of exchange ... -
Modelling conditional volatility in stock indices: a comparison of the arma-egarch model versus neuronal network backpropagation
(8th International Scientific Conference “Business and Management 2014”, 2014)The analysis of conditional volatility is a key factor to correctly assess the risk of several financial assets such as shares, bonds or index as well as derivatives (futures and options). The econometric models from the ...