eprintid: 1638
rev_number: 8
eprint_status: archive
userid: 6
dir: disk0/00/00/16/38
datestamp: 2013-07-10 09:32:33
lastmod: 2013-07-10 09:32:33
status_changed: 2013-07-10 09:32:33
type: article
metadata_visibility: show
creators_name: Giovanis, Eleftherios
creators_id: eleftherios.giovanis@imtlucca.it
title: Application of a Modified Generalized Regression Neural Networks Algorithm in Economics and Finance
ispublished: pub
subjects: HA
subjects: HB
divisions: EIC
full_text_status: public
keywords: Autoregressive Moving Average, Forecasting, GARCH, Generalized Regression Neural Networks, MATLAB, Stock Returns
abstract:  	In this paper we propose an alternative and modified Generalized Regression Neural Networks Autoregressive model (GRNN-AR) in S&P 500 and FTSE 100 index returns, as also in Gross domestic product growth rate of Italy, USA and UK. We compare the forecasts with Generalized Autoregressive conditional Heteroskedasticity (GARCH) and Autoregressive Integrated Moving Average (ARIMA) models. The results indicate that GRNN outperform significant the conventional econometric models and can be an efficient alternative tool for forecasting. The MATLAB algorithm we propose is provided in appendix for further applications, suggestions, modifications and improvements.
date: 2011
date_type: published
publication:  	International Journal of Advanced Research in Computer Science
volume: 2
number: 2
pagerange: 197-202
refereed: TRUE
issn: 0976-5697
official_url: http://www.ijarcs.info/?wicket:bookmarkablePage=:com.genxcellence.journal.pharmacy.web.issue.IssueDetail&target=1041&author=Eleftherios+Giovanis&country=United+Kingdom&title=Application+of+a+Modified+Generalized+Regression+Neural+Networks++Algorithm+in+Ec
citation:   Giovanis, Eleftherios  Application of a Modified Generalized Regression Neural Networks Algorithm in Economics and Finance.   International Journal of Advanced Research in Computer Science, 2 (2).  pp. 197-202.  ISSN 0976-5697      (2011)  
document_url: http://eprints.imtlucca.it/1638/1/IJARCS_Giovanis_2011.pdf