An Ensembel Model for Modelling Chaotic Behaviour of Bursa Malaysia Time Series Data

Financial data is characterized as non-linearity, chaotic in nature and volatility thus making the process of forecasting cumber- some, hence a successful forecasting model must be able to capture long- term dependencies from chaotic data. In this study, an ensemble model, called UKF-NARX, consi...

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Bibliographic Details
Main Author: Lai, Fong Woon
Format: Conference or Workshop Item
Published: 2014
Online Access:http://eprints.utp.edu.my/11579/1/Vivian-iconip14_Nov2014.pdf
http://eprints.utp.edu.my/11579/
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