Hybridizing exponential smoothing and neural network for financial time series predication

Authors:
Kin Keung Lai;Lean Yu;Shouyang Wang;Wei Huang
Affiliations:
College of Business Administration, Hunan University, Changsha, China;Department of Management Sciences, City University of Hong Kong, Kowloon, Hong Kong;College of Business Administration, Hunan University, Changsha, China;School of Management, Huazhong University of Science and Technology, Wuhan, China
Venue:
ICCS'06 Proceedings of the 6th international conference on Computational Science - Volume Part IV
Year:
2006

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Abstract

In this study, a hybrid synergy model integrating exponential smoothing and neural network is proposed for financial time series prediction. The proposed model attempts to incorporate the linear characteristics of an exponential smoothing model and nonlinear patterns of neural network to create a “synergetic” model via the linear programming technique. For verification, two real-world financial time series are used for testing purpose.