Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176464 
Year of Publication: 
2017
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 3 [Issue:] 24 [Publisher:] Springer [Place:] Heidelberg [Year:] 2017 [Pages:] 1-24
Publisher: 
Springer, Heidelberg
Abstract: 
Background: Improving financial time series forecasting is one of the most challenging and vital issues facing numerous financial analysts and decision makers. Given its direct impact on related decisions, various attempts have been made to achieve more accurate and reliable forecasting results, of which the combining of individual models remains a widely applied approach. In general, individual models are combined under two main strategies: series and parallel. While it has been proven that these strategies can improve overall forecasting accuracy, the literature on time series forecasting remains vague on the choice of an appropriate strategy to generate a more accurate hybrid model. Methods: Therefore, this study's key aim is to evaluate the performance of series and parallel strategies to determine a more accurate one. Results: Accordingly, the predictive capabilities of five hybrid models are constructed on the basis of series and parallel strategies compared with each other and with their base models to forecast stock price. To do so, autoregressive integrated moving average (ARIMA) and multilayer perceptrons (MLPs) are used to construct two series hybrid models, ARIMA-MLP and MLP-ARIMA, and three parallel hybrid models, simple average, linear regression, and genetic algorithm models. Conclusion: The empirical forecasting results for two benchmark datasets, that is, the closing of the Shenzhen Integrated Index (SZII) and that of Standard and Poor's 500 (S&P 500), indicate that although all hybrid models perform better than at least one of their individual components, the series combination strategy produces more accurate hybrid models for financial time series forecasting.
Subjects: 
Series and parallel combination strategies
Multilayer perceptrons
Autoregressive integrated moving average
Financial time series forecasting
Stock markets
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.