English, Article edition: DEVELOPING TIME-BASED CLUSTERING NEURAL NETWORKS TO USE CHANGE-POINT DETECTION: APPLICATION TO FINANCIAL TIME SERIES KYONG JOO OH; TAE HYUP ROH; MYUNG SANG MOON

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Bookmark: http://trove.nla.gov.au/version/131409
Physical Description
  • article
Language
  • English

Edition details

Title
  • DEVELOPING TIME-BASED CLUSTERING NEURAL NETWORKS TO USE CHANGE-POINT DETECTION: APPLICATION TO FINANCIAL TIME SERIES
Author
  • KYONG JOO OH
  • TAE HYUP ROH
  • MYUNG SANG MOON
Physical Description
  • article
Notes
  • This study suggests time-based clustering models integrating change-point detection and neural networks, and applies them to financial time series forecasting. The basic concept of the proposed models is to obtain intervals divided by change points, to identify them as change-point groups, and to involve them in the forecasting model. The proposed models consist of two stages. The first stage, the clustering neural network modeling stage, is to detect successive change points in the dataset, and to forecast change-point groups with backpropagation neural networks (BPNs). In this stage, three change-point detection methods are applied and compared. They are: (1) the parametric approach, (2) the nonparametric approach, and (3) the model-based approach. The next stage is to forecast the final output with BPNs. Through the application to financial time series forecasting, we compare the proposed models with a neural network model alone and, in addition, determine which of three change-point detection methods performs better. Furthermore, we evaluate whether the proposed models play a role in clustering to reflect the time. Finally, this study examines the predictability of the integrated neural network models based on change-point detection.
  • Clustering, change-point detection, backpropagation neural networks, Chow test, Pettitt test, likelihood ratio test
  • RePEc:wsi:apjorx:v:22:y:2005:i:01:p:51-70
Language
  • English
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