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Bibliography

Journal Article

Comparing Neural Networks and ARMA Models in Artificial Stock Market

Krtek Jiří, Vošvrda Miloslav

: Bulletin of the Czech Econometric Society vol.18, 28 (2011), p. 53-65

: CEZ:AV0Z10750506

: GD402/09/H045, GA ČR

: neural networks, vector ARMA, artificial market

: http://library.utia.cas.cz/separaty/2011/E/krtek-comparing neural networks and arma models in artificial stock market.pdf

(eng): Neural networks - feed-forward neural networks and Elman's simple recurrent neural networks - are compared with vector ARMA models - VAR and VARMA - in this paper. They are compared in anartifical stock market. One risk free and one risky asset are traded in the market. There are only trend followers in this model, which use the mentioned models for forecasting change of a price of the risky asset and the dividend. traded in the market

: AH