Re: neural nets

Posted by Dirk Eddelbuettel on Jan 20, 2002; 5:23am
URL: http://quantlib.414.s1.nabble.com/neural-nets-tp1844p1848.html

  Ben Wooton wrote:
  Ben> Id like to try and capture bond price movements or something like that,
  Ben> but I cant see how we can predict things like this based on past
  Ben> movements...

Have you looked at the (fairly vast) existing literature on neural nets as
non-linear regression variants (and/or pattern matching algorithms) from both
the statistics and econometrics literature.

Pointers would be Brian Ripley "Pattern Recognition and Neural Networks",
Cambridge 1995, from the statistics corner, and papers from e.g. Hal White
from UCSD for the econometrics part. AFAIK neural nets mostly "survived" that
reasearch as valid non-paramatric tests for non-linearities (GNU R even has
two canned in its tseries package).

Hope this helps, Dirk

--
Good judgment comes from experience; experience comes from bad judgment.
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