Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Nov 20

Feedforward Neural Networks and Lyapunov Exponents Estimation

Posted by abiao at 20:35 | Code » C++ | Comments(0) | Reads(8530)
This program, NETLE.EXE, estimates feedforward neural network models and computes Lyapunov exponents (LE).  Neural networks are estimated by the method of nonlinear least squares (NLS) (Kuan and Liu (1995)); Lyapunov exponents are calculated from the derivative matrices of estimated network models (Gencay and Dechert (1992)).  Note that a positive Lyapunov exponent indicates that the underlying series is chaotic.


Kuan, Chung-Ming and Tung Liu (1995).   "Forecasting exchange rates using feedforward and recurrent networks", Journal of Applied Econometrics, forthcoming.

Gencay, Ramazan and W. D. Dechert (1992).   "An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system", Physica D, 59, 142-157.


Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]