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2020 ; 7
(4
): 613-628
Nephropedia Template TP
Teixeira Zavadzki de Pauli S
; Kleina M
; Bonat WH
Ann Data Sci
2020[]; 7
(4
): 613-628
PMID38624383
show ga
Prediction of financial time series is a great challenge for statistical models.
In general, the stock market times series present high volatility due to its
sensitivity to economic and political factors. Furthermore, recently, the
covid-19 pandemic has caused a drastic change in the stock exchange times series.
In this challenging context, several computational techniques have been proposed
to improve the performance of predicting such times series. The main goal of this
article is to compare the prediction performance of five neural network
architectures in predicting the six most traded stocks of the official Brazilian
stock exchange B3 from March 2019 to April 2020. We trained the models to predict
the closing price of the next day using as inputs its own previous values. We
compared the predictive performance of multiple linear regression, Elman, Jordan,
radial basis function, and multilayer perceptron architectures based on the root
of the mean square error. We trained all models using the training set while
hyper-parameters such as the number of input variables and hidden layers were
selected using the testing set. Moreover, we used the trimmed average of 100
bootstrap samples as our prediction. Thus, our approach allows us to measure the
uncertainty associate with the predicted values. The results showed that for all
times series, considered all architectures, except the radial basis function, the
networks tunning provide suitable fit, reasonable predictions, and confidence
intervals.