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Book Cover
Author McNelis, Paul D.

Title Neural networks in finance : gaining predictive edge in the market / Paul D. McNelis
Published Burlington, MA : Elsevier Academic Press, ©2005


Description 1 online resource (xv, 243 pages) : illustrations
Series Academic Press advanced finance series
Academic Press advanced finance series.
Contents Preface; 1. Introduction; 2. What Are Neural Networks; 3. Estimation of a Network with Evolutionary Computation; 4. Evaluation of Network Estimation; 5. Estimation and Forecasting with Artificial Data; 6. Times Series: Examples from Industry and Finance; 7. Inflation and Deflation: Hong Kong and Japan; 8. Classification: Credit Card Default and Bank Failures; 9. Dimensionality Reduction and Implied Volatility Forecasting
Summary This book explores the intuitive appeal of neural networks and the genetic algorithm in finance. It demonstrates how neural networks used in combination with evolutionary computation outperform classical econometric methods for accuracy in forecasting, classification and dimensionality reduction. McNelis utilizes a variety of examples, from forecasting automobile production and corporate bond spread, to inflation and deflation processes in Hong Kong and Japan, to credit card default in Germany to bank failures in Texas, to cap-floor volatilities in New York and Hong Kong. * Offers a balanced, critical review of the neural network methods and genetic algorithms used in finance * Includes numerous examples and applications * Numerical illustrations use MATLAB code and the book is accompanied by a website
Bibliography Includes bibliographical references pages (221-231)
Notes Print version record
Subject Finance -- Decision making -- Data processing
Neural networks (Computer science)
Neural Networks, Computer
Neural networks (Computer science)
Finance -- Decision making -- Data processing.
Finance -- Decision making -- Data processing.
Neural networks (Computer science)
Financieel management.
Neurale netwerken.
Prognoses (vorm)
Wiskundige modellen.
Form Electronic book
ISBN 1417577460