A RPCL-CLP architecture for financial time series forecasting
Yiu‐ming Cheung, Wai Man Leung, Lei Xu · 2002
In this paper, we propose a new architecture based on the rival penalized competitive learning algorithm (RPCL) of Xu, Krzyzak and Oja (1993) and combined linear prediction method (CLP). The performance of RPCL-CLP is insensitive to the initial number of cluster nodes selected. Experimental results show that it is robust in long-term prediction for financial time series forecasting.