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DOI: 10.14569/IJACSA.2017.080945
PDF

Hybrid Forecasting Scheme for Financial Time-Series Data using Neural Network and Statistical Methods

Author 1: Mergani Khairalla
Author 2: Xu-Ning
Author 3: Nashat T. AL-Jallad

International Journal of Advanced Computer Science and Applications(IJACSA), Volume 8 Issue 9, 2017.

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Abstract: Currently, predicting time series utilizes as interesting research area for temporal mining aspects. Financial Time Series (FTS) delineated as one of the most challenging tasks, due to data characteristics is devoid of linearity, stationary, noisy, high degree of uncertainty and hidden relations. Several singles' models proposed using both statistical and data mining approaches powerless to deal with these issues. The main objective of this study to propose a hybrid model, using additive and linear regression methods to combine linear and non-linear models. However, three models are investigated namely ARIMA, EXP, and ANN. Firstly, those models are feeding by exchange rate data set (SDG-EURO). Then, the arithmetical outcome of each model examined as benchmark models and set of aforementioned hybrid models in related literature. Results showed the superiority in hybrid model on all other investigated models based on 0.82% MAPE error's measure for accuracy. Based on the results of this study, we can conclude that further experiments desirable to estimate the weights for accurate combination method and more models essential to be surveyed in the areas of series prediction.

Keywords: Financial Time Series; hybrid Model; Additive Combination; regression Combination; Exchange Rate

Mergani Khairalla, Xu-Ning and Nashat T. AL-Jallad, “Hybrid Forecasting Scheme for Financial Time-Series Data using Neural Network and Statistical Methods” International Journal of Advanced Computer Science and Applications(IJACSA), 8(9), 2017. http://dx.doi.org/10.14569/IJACSA.2017.080945

@article{Khairalla2017,
title = {Hybrid Forecasting Scheme for Financial Time-Series Data using Neural Network and Statistical Methods},
journal = {International Journal of Advanced Computer Science and Applications},
doi = {10.14569/IJACSA.2017.080945},
url = {http://dx.doi.org/10.14569/IJACSA.2017.080945},
year = {2017},
publisher = {The Science and Information Organization},
volume = {8},
number = {9},
author = {Mergani Khairalla and Xu-Ning and Nashat T. AL-Jallad}
}



Copyright Statement: This is an open access article licensed under a Creative Commons Attribution 4.0 International License, which permits unrestricted use, distribution, and reproduction in any medium, even commercially as long as the original work is properly cited.

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