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Gated Experts for Classification of Financial Time Series
| Content Provider | Semantic Scholar |
|---|---|
| Author | Vengerov, David |
| Copyright Year | 1997 |
| Abstract | The experts considered in this paper are neural networks whose forecasts are combined by another neural network, a gate. For regression problems such an architecture was shown to partly remedy the two main problems in forecasting real world time series: nonstationarity and overfitting. The goal of this paper is to compare the forecasting abili ty of gated experts (GE) with a that of a single neural network expert on a time series classification task, which corresponds to decisions of taking a long position in a stock, a short position, or doing nothing. A new error function and a weight update rule were derived for this problem. The architecture was tested on the actual stock market data, and the errors on both training and testing data were smaller than errors for the best expert. This suggests that the performance of any single stock market forecasting system can be improved by making several copies of it and training them under the GE framework. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.stanford.edu/~vengerov/MGEfin.ps |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
