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Financial Time Series Forecasting Using Deep Learning Network

  • PreetiEmail author
  • Ankita Dagar
  • Rajni Bala
  • Ram Pal Singh
Conference paper
Part of the Communications in Computer and Information Science book series (CCIS, volume 899)

Abstract

The analysis of financial time series for predicting the future developments is a challenging problem since past decades. A forecasting technique based upon the machine learning paradigm and deep learning network namely Extreme Learning Machine with Auto-encoder (ELM-AE) has been proposed. The efficacy and effectiveness of ELM-AE has been compared with few existing forecasting methods like Generalized Autoregressive Conditional Heteroskedastcity (GARCH), General Regression Neural Network (GRNN), Multiple Layer Perceptron (MLP), Random Forest (RF) and Group Method of Data Handling (GRDH). Experimental results have been computed on two different time series data that is Gold Price and Crude Oil Price. The results indicate that the implemented model outperforms existing models in terms of qualitative parameters such as mean square error (MSE).

Keywords

Auto-encoder Deep learning ELM Forecasting Time series 

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Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  • Preeti
    • 1
    Email author
  • Ankita Dagar
    • 1
  • Rajni Bala
    • 1
  • Ram Pal Singh
    • 1
  1. 1.Department of Computer Science, Deen Dayal Upadhyaya CollegeUniversity of DelhiNew DelhiIndia

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