Nov
20

## Feedforward Neural Networks and Lyapunov Exponents Estimation

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.

REFERENCES:

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.

http://www.sfu.ca/~rgencay/lyap.html

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Libor Market Model: Theory and Implementation source code

Newey and West Covariance Matrix Estimator

Stress testing under Black Litterman framework

How I Became a Quant: Insights from 25 of Wall Street's Elite

Asian Option Pricing

REFERENCES:

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.

http://www.sfu.ca/~rgencay/lyap.html

**People viewing this post also viewed:**

Hot posts:

Random posts: