文章基本信息

标题：A Novel Method in Two-Step-Ahead Weight Adjustment of Recurrent Neural Networks: Application in Market Forecasting
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作者：Narges Talebi Motlagh ; Amir RikhtehGar Ghiasi
期刊名称：International Journal of Advanced Computer Science and Applications(IJACSA)
印刷版ISSN：2158-107X
电子版ISSN：2156-5570
出版年度：2016
卷号：7
期号：7
DOI：10.14569/IJACSA.2016.070764
出版社：Science and Information Society (SAI)
摘要：Gold price prediction is a very complex nonlinear problem which is severely difficult. Real-time price prediction, as a principle of many economic models, is one of the most challenging tasks for economists since the context of the financial agents are often dynamic. Since in financial time series, direction prediction is important, in this work, an innovative Recurrent Neural Network (RNN) is utilized to obtain accurate Two-Step- Ahead (2SA) prediction results and ameliorate forecasting per- formances of gold market. The training method of the proposed network has been combined with an adaptive learning rate algorithm and a linear combination of Directional Symmetry (DS) is utilized in the training phase. The proposed method has been developed for online and offline applications. Simulations and experiments on the daily Gold market data and the benchmark time series of Lorenz and Rossler shows the high efficiency of proposed method which could forecast future gold price precisely.
关键词：thesai; IJACSA; thesai.org; journal; IJACSA papers; Recurrent Neural Network; Two Step Ahead Prediction; Reinforcement Learning; Directional Statistics; Gold Market