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Construction of artificial neural network economic forecasting model based on the consideration of state transition diagram

  • Xiaofang LuoEmail author
Machine Learning - Applications & Techniques in Cyber Intelligence
  • 24 Downloads

Abstract

In order to quantify the time-varying dependent structure between the assets and forecast the portfolio risk accurately, the difference in the preferences for asset risk is taken into consideration in this paper. It is assumed that the new interest rate of asset return sequence is subject to the standard t distribution. A kind of artificial neural network economic forecasting model is put forward. The two-step state transition diagram estimation method for the economic forecasting is deduced, and the forecasting method for the profile risk is obtained. Finally, Shanghai Securities Composite Index and Standard & Poor’s 500 Index are selected to verify the feasibility and superiority of the model and method put forward in this paper. At the same time, the model can accurately quantify the time-varying dependent structural characteristics of the two indices after the subprime mortgage crisis.

Keywords

State transition diagram Artificial neural network Economic forecasting model Risk management 

Notes

Acknowledgements

The work has been sponsored by Project Supported by the National Natural Science Foundation of China (No. 71601087) and the Humanities and Social Sciences Fund of the Ministry of Education (No. 15YJC630088). The authors gratefully acknowledge this support.

Compliance with ethical standards

Conflict of interest

The author declares that she has no conflicts of interest.

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Copyright information

© Springer-Verlag London Ltd., part of Springer Nature 2019

Authors and Affiliations

  1. 1.Jiangsu University of Science and TechnologySchool of Economics and ManagementZhenjiangChina

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