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intelligent GMDH forecaster for forecasting certain variables in financial markets

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Date Issued:
2002
Summary:
In this thesis, application of GMDH Algorithm to real life problems is studied. A particular type of GMDH Algorithm namely TMNN is chosen for this purpose. An effort is made to forecast S&P Index Closing Value with the help of the forecaster. The performance of the TMNN Algorithm is simulated by implementing a tool in C++ for developing forecast models. The validation of this simulation tool is carried out with Sine Wave Values and performance analysis is done in a noisy environment. The noisy environment tests the TMNN forecaster for its robustness. The primary goal of this research is to develop a simulation software based on TMNN Algorithm for forecasting stock market index values. The main inputs are previous day's closing values and the output is predicted closing index.
Title: An intelligent GMDH forecaster for forecasting certain variables in financial markets.
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Name(s): Mehta, Sandeep.
Florida Atlantic University, Degree grantor
Pandya, Abhijit S., Thesis advisor
College of Engineering and Computer Science
Department of Computer and Electrical Engineering and Computer Science
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: monographic
Date Issued: 2002
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 81 p.
Language(s): English
Summary: In this thesis, application of GMDH Algorithm to real life problems is studied. A particular type of GMDH Algorithm namely TMNN is chosen for this purpose. An effort is made to forecast S&P Index Closing Value with the help of the forecaster. The performance of the TMNN Algorithm is simulated by implementing a tool in C++ for developing forecast models. The validation of this simulation tool is carried out with Sine Wave Values and performance analysis is done in a noisy environment. The noisy environment tests the TMNN forecaster for its robustness. The primary goal of this research is to develop a simulation software based on TMNN Algorithm for forecasting stock market index values. The main inputs are previous day's closing values and the output is predicted closing index.
Identifier: 9780496179336 (isbn), 12996 (digitool), FADT12996 (IID), fau:9863 (fedora)
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): College of Engineering and Computer Science
Thesis (M.S.)--Florida Atlantic University, 2002.
Subject(s): GMDH algorithms
Neural networks (Computer science)
Time-series analysis
Pattern recognition systems
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/12996
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.