Financial time series prediction using polynomial pipelined neural networks
This paper proposes a novel type of higher-order pipelined neural network: the polynomial pipelined neural network. The proposed network is constructed from a number of higher-order neural networks concatenated with each other to predict highly nonlinear and nonstationary signals based on the engineering concept of divide and conquer. The polynomial pipelined neural network is used to predict the exchange rate between the US dollar and three other currencies. In this application, two sets of experiments are carried out. In the first set, the input data are pre-processed between 0 and 1 and passed to the neural networks as nonstationary data. In the second set of experiments, the nonstationary input signals are transformed into one step relative increase in price. The network demonstrates more accurate forecasting and an improvement in the signal to noise ratio over a number of benchmarked neural networks.
financial time series prediction polynomial neural network pipelined network exchange rate time series