Remember Me
Or use your Academic/Social account:


Or use your Academic/Social account:


You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.


Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message


Verify Password:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Sermpinis, G.; Theofilatos, K.; Karathanasopoulos, A.; Dunis, C. (2013)
Publisher: Elsevier BV
Languages: English
Types: Article
The motivation for this paper is to introduce a hybrid Neural Network architecture of Particle\ud Swarm Optimization and Adaptive Radial Basis Function (ARBF-PSO), a time varying leverage\ud trading strategy based on Glosten, Jagannathan and Runkle (GJR) volatility forecasts and a\ud Neural Network fitness function for financial forecasting purposes. This is done by\ud benchmarking the ARBF-PSO results with those of three different Neural Networks\ud architectures, a Nearest Neighbors algorithm (k-NN), an autoregressive moving average model\ud (ARMA), a moving average convergence/divergence model (MACD) plus a naïve strategy.\ud More specifically, the trading and statistical performance of all models is investigated in a\ud forecast simulation of the EUR/USD, EUR/GBP and EUR/JPY ECB exchange rate fixing time\ud series over the period January 1999 to March 2011 using the last two years for out-of-sample\ud testing.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Adeodato, P., Arnaud,A., Vasconcelos, G. Cunha, R. and Monteiro, D. (2011), 'MLP Ensembles Improve Long Term Prediction Accuracy Over Single Networks', International Journal of Forecasting, 27, 3 661-671.
    • Andreou, P., Charalampous, C. and Martzoukos, S. (2008), 'Pricing and Trading European Options by Combining Artificial Neural Networks and Parametric Models with Implied Parameters', European Journal of Operational Research, 185, 3, 1415-1433.
    • Bekaert, G., and G. Wu. (2000), 'Assymetry Volatility and Risk in Equity Markets', The Review of Financial Studies, 13, 1, 1-42.
    • Bekiros, S. D. and Georgoutsos, D. A. (2008), 'Direction-of-change Forecasting Using a Volatility-Based Recurrent Neural Network', Journal of Forecasting, 27, 407-417.
    • Bekiros, S. D. (2010), 'Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets', European Journal of Operational Research, 202, 1, 285-293.
    • Yang, J., Su, X., and Kolari, J. W. (2008), 'Do Euro Exchange Rates Follow a Martingale? Some Out-of-Sample Evidence', Journal of Banking and Finance, 32, 729 - 740.
    • Yang, J., Cabrera, J. and Wang, T. (2010), 'Nonlinearity, Data-Snooping, and Stock Index ETF Return Predictability', European Journal of Operational Research, 200, 2, 498-507.
    • Zhang, G., Patuwo, B. and Hu, M. (1998), 'Forecasting with artificial neural networks: The state of the art', International Journal of Forecasting, 14, 1, 35-62.
  • No related research data.
  • No similar publications.

Share - Bookmark

Download from

Cite this article