Using Neural Networks pdf

Using Neural Networks

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Synopsis E-book: Using Neural Networks

Forex is the largest and most liquid of the financial markets, with an approximately $1 trillion traded every day. It leads to the serious interest to this sector of finance and makes clear that for various reasons any trader on Forex wish to have an accurate forecast of exchange rate.
Most of traders use in old fashion manner such traditional method of forecast as technical analysis with the combination of fundamental one. In this paper we develop neural network approach to analysis and forecasting of financial time series based not only on neural networks technology but also on a paradigm of complex systems theory and its applicability to analysis of various financial markets (Mantegna et al., 2000; Peters, 1996) and, in particularly, to Forex.
While choosing the architecture of neural network and strategy of forecasting we carried out data preprocessing on the basis of some methods of ordinary statistical analysis and complex systems theory: R/S-analysis, methods of nonlinear and chaotic dynamics (Mantegna et al., 2000; Peters, 1996). In the present paper we do not describe all of them. We present here only the results of the Kolmogorov-Smirnov test and results of R/S-analysis. However we stress that the preliminary analysis has allowed to optimize parameters of neural network, to determine horizon of predictability and to carry out comparison of forecasting quality of different currencies.

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