期刊
JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT
卷 14, 期 2, 页码 403-413出版社
VILNIUS GEDIMINAS TECH UNIV
DOI: 10.3846/16111699.2012.729532
关键词
artificial intelligence; forecasting; investment portfolio; exchange rates; Sharpe ratio
Use of artificial intelligence systems in forecasting financial markets requires a reliable and simple model that would ensure profitable growth. The model presented in the paper combines Evolino recurrent neural networks with orthogonal data inputs and the Delphi expert evaluation method for its investment portfolio decision making process. A statistical study demonstrates the reliability of the model and describes its accuracy. Capabilities of the model are demonstrated using a trading simulation.
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