| bibtype |
J -
Journal Article
|
| ARLID |
0361537 |
| utime |
20240103195407.2 |
| mtime |
20110913235959.9 |
| title
(primary) (eng) |
Comparing Neural Networks and ARMA Models in Artificial Stock Market |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0293025 |
| ISSN |
1212-074X |
| title
|
Bulletin of the Czech Econometric Society |
| volume_id |
18 |
| volume |
28 (2011) |
| page_num |
53-65 |
|
| keyword |
neural networks |
| keyword |
vector ARMA |
| keyword |
artificial market |
| author
(primary) |
| ARLID |
cav_un_auth*0256729 |
| name1 |
Krtek |
| name2 |
Jiří |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
Neural networks - feed-forward neural networks and Elman's simple recurrent neural networks - are compared with vector ARMA models - VAR and VARMA - in this paper. They are compared in anartifical stock market. One risk free and one risky asset are traded in the market. There are only trend followers in this model, which use the mentioned models for forecasting change of a price of the risky asset and the dividend. traded in the market |
| reportyear |
2012 |
| RIV |
AH |
| num_of_auth |
2 |
| permalink |
http://hdl.handle.net/11104/0198831 |
| arlyear |
2011 |
| mrcbU63 |
cav_un_epca*0293025 Bulletin of the Czech Econometric Society 1212-074X Roč. 18 č. 28 2011 53 65 |
|