Financial prediction using modified probabilistic learning network with embedded local linear models

Tony Jan; Ting Yu; John Debenham; Simeon Simoff

Financial prediction using modified probabilistic learning network with embedded local linear models

Tony Jan, Ting Yu, John Debenham, Simeon Simoff

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

In this paper, a model is proposed which combines multiple local linear models with a novel modified probabilistic neural network (MPNN). The proposed model is shown to provide improved regularization with reduced computation utilizing semiparametric model approach and efficient vector quantization of data space. In this paper, the proposed model is shown to generalize better with reduced variance and model complexity in short-term financial prediction application.

Original language	English
Title of host publication	2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA
Pages	81-84
Number of pages	4
Publication status	Published - 2004
Externally published	Yes
Event	2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA - Boston, MA, United States Duration: 14 Jul 2004 → 16 Jul 2004

Publication series

Name	2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA

Conference

Conference	2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA
Country/Territory	United States
City	Boston, MA
Period	14/07/04 → 16/07/04

Keywords

Financial prediction
Piecewise linear models
Probabilistic neural networks

Cite this

Jan, T., Yu, T., Debenham, J., & Simoff, S. (2004). Financial prediction using modified probabilistic learning network with embedded local linear models. In 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA (pp. 81-84). (2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA).

Jan, Tony ; Yu, Ting ; Debenham, John et al. / Financial prediction using modified probabilistic learning network with embedded local linear models. 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA. 2004. pp. 81-84 (2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA).

@inproceedings{2c9204af9c2545adbe73f1a272a53f9d,

title = "Financial prediction using modified probabilistic learning network with embedded local linear models",

abstract = "In this paper, a model is proposed which combines multiple local linear models with a novel modified probabilistic neural network (MPNN). The proposed model is shown to provide improved regularization with reduced computation utilizing semiparametric model approach and efficient vector quantization of data space. In this paper, the proposed model is shown to generalize better with reduced variance and model complexity in short-term financial prediction application.",

keywords = "Financial prediction, Piecewise linear models, Probabilistic neural networks",

author = "Tony Jan and Ting Yu and John Debenham and Simeon Simoff",

year = "2004",

language = "English",

isbn = "0780383419",

series = "2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA",

pages = "81--84",

booktitle = "2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA",

note = "2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA ; Conference date: 14-07-2004 Through 16-07-2004",

}

Jan, T, Yu, T, Debenham, J & Simoff, S 2004, Financial prediction using modified probabilistic learning network with embedded local linear models. in 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA. 2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA, pp. 81-84, 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA, Boston, MA, United States, 14/07/04.

Financial prediction using modified probabilistic learning network with embedded local linear models. / Jan, Tony; Yu, Ting; Debenham, John et al.
2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA. 2004. p. 81-84 (2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Financial prediction using modified probabilistic learning network with embedded local linear models

AU - Jan, Tony

AU - Yu, Ting

AU - Debenham, John

AU - Simoff, Simeon

PY - 2004

Y1 - 2004

N2 - In this paper, a model is proposed which combines multiple local linear models with a novel modified probabilistic neural network (MPNN). The proposed model is shown to provide improved regularization with reduced computation utilizing semiparametric model approach and efficient vector quantization of data space. In this paper, the proposed model is shown to generalize better with reduced variance and model complexity in short-term financial prediction application.

AB - In this paper, a model is proposed which combines multiple local linear models with a novel modified probabilistic neural network (MPNN). The proposed model is shown to provide improved regularization with reduced computation utilizing semiparametric model approach and efficient vector quantization of data space. In this paper, the proposed model is shown to generalize better with reduced variance and model complexity in short-term financial prediction application.

KW - Financial prediction

KW - Piecewise linear models

KW - Probabilistic neural networks

UR - http://www.scopus.com/inward/record.url?scp=16244390840&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:16244390840

SN - 0780383419

T3 - 2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA

SP - 81

EP - 84

BT - 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA

T2 - 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA

Y2 - 14 July 2004 through 16 July 2004

ER -

Jan T, Yu T, Debenham J, Simoff S. Financial prediction using modified probabilistic learning network with embedded local linear models. In 2004 IEEE International Conference on Computational Intelligence for Measurement Systems and Applications, CIMSA. 2004. p. 81-84. (2004 IEEE International Conference on Computational Intelligence for Measurements Systems and Applications, CIMSA).

Financial prediction using modified probabilistic learning network with embedded local linear models

Abstract

Publication series

Conference

Keywords

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