?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.title=FTSE+100+Returns+and+Volatility+estimation+using+Higher+Order+Neural+Networks+-+Poster+Paper&rft.creator=Shawash%2C+J&rft.creator=Selviah%2C+DR&rft.description=This+poster+paper+compares+Higher+Order+Neural+Networks+(HONN)+with+Neural+Networks%2C+and+linear+regression+for+short+term+forecasting+of+stock+market+index+daily+returns.+Two+new+HONNs%2C+the+Correlation+HONN+(CHONN)+and+the+Horizontal+HONN+(HorizHONN)+outperform+all+other+models+tested+in+terms+of+the+Akaike+Information+Criterion%2C+out-of-sample+root+mean+square+error%2C+of+FTSE100+and+NASDAQ+giving+out-of-sample+Hit+Rates+of+up+to+60%25+with+AIC+improvement+up+to+6.2%25.+New+hybrid+models+for+volatility+estimation+are+formed+by+combining+CHONN+with+E%2FGARCH+are+compared+with+conventional+EGARCH%2C+providing+up+to+2.1%25+and+2.7%25+AIC+improvement+for+FTSE100+and+NASDAQ.&rft.subject=Correlation%2C+Higher+Order%2C+Neural+Network%2C+volatility%2C+returns%2C+FTSE%2C+finance%2C+financial%2C+prediction%2C+forecast%2C+estimation&rft.date=2010-06-11&rft.type=Poster&rft.source=+++Presented+at%3A+Algorithmic+Trading+-+Future+Directions+and+Opportunities+for+Research%2C+University+College+London%2C+London%2C+UK.+(2010)+++++&rft.format=application%2Fpdf&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F19924%2F2%2FPoster_Algorithmic_Trading_ver2.pdf&rft.identifier=https%3A%2F%2Fdiscovery.ucl.ac.uk%2Fid%2Feprint%2F19924%2F&rft.rights=open