The prediction of the financial time series based on correlation dimension

Authors:
Chen Feng;Guangrong Ji;Wencang Zhao;Rui Nian
Affiliations:
College of Information Science and Engineering Ocean University of China, Qingdao, China;College of Information Science and Engineering Ocean University of China, Qingdao, China;College of Information Science and Engineering Ocean University of China, Qingdao, China;College of Information Science and Engineering Ocean University of China, Qingdao, China
Venue:
ICNC'05 Proceedings of the First international conference on Advances in Natural Computation - Volume Part I
Year:
2005

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Abstract

In this paper we firstly analysis the chaotic characters of three sets of the financial time series (Hang Sheng Index (HIS), Shanghai Stock Index and US gold price) based on the phase space reconstruction. But when we adopt the feedforward neural networks to predict those time series, we found this method run short of a criterion in selecting the training set, so we present a new method: using correlation dimension (CD) as the criterion. By the experiments, the method is proved effective.