Proposed Project for the MSU Industrial Math Students

Using Neural Networks for High Frequency Forcasting

Project Overview: Forecasting with high-frequency data (i.e., data that is daily or more frequent) presents special challenges for analysts. It has been found (e.g., in Crone (2009)) that neural networks sometimes present a good answer to these challenges. For this project we are looking at an evaluation of neural networks as a possible tool for different types of high frequency time series data analysis.  The first part of this project will be to attempt to use neural networks as an aid in forecasting for a variety of different high frequency time series. The second part will be to determine whether there are certain qualitative characteristics of these time series which might predict which time series in general might be amenable to modeling by neural networks.

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