Recurrent neural network and a hybrid model for prediction of stock returns

作者：

Highlights：

• A novel hybrid model is proposed for prediction of stocks returns.

• The proposed model is hybrid of two linear models and a non-linear model.

• An optimization model is introduced which generates weights for proposed model.

• Proposed model is able to capture non-linear patterns of stock data very well.

摘要

•A novel hybrid model is proposed for prediction of stocks returns.•The proposed model is hybrid of two linear models and a non-linear model.•An optimization model is introduced which generates weights for proposed model.•Proposed model is able to capture non-linear patterns of stock data very well.

论文关键词：Recurrent neural network,Autoregressive neural network,Genetic algorithms,Time series,Stock returns

论文评审过程：Available online 11 December 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.12.003