Multivariate time series prediction based on neural networks applied to stock market
Yiwen Yang, Guizhong Liu · 2002
For time series prediction by neural networks, the neural network should take advantage of the relationship between time series, and one time series can then be predicted based on the information provided not only by itself, but also by other related ones. We use neural networks to predict the multivariate time series combined from the open, high, low and close Shanghai Stock Exchange index series.