Time Dependent Directional Profit Model for Financial Time Series Forecasting

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Venue:
IJCNN '00 Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks (IJCNN'00)-Volume 5 - Volume 5
Year:
2000

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Abstract

Goodness-of-fit is the most popular criterion for neural network time series forecasting. In the context of financial time series forecasting, we are not only concerned at how good the forecasts fit their targets, but we are more interested in profits. In order to increase the forecastability in terms of profit earning, we propose a profit based adjusted weight factor for backpropagation network training. Instead of using the traditional least square error, we add a factor which contains the profit, direction, and time information to the error function. The results show that this new approach does improve the forecastability of neural network models, for the financial application domain.