REFERENCES ON APPLICATIONS OF NEURAL NETWORKS IN
FINANCE & ECONOMICS
Version 99.1. July 1998. By: Athanasios Episcopos, Ph.D., Roditsa Fthiotidos, 35100, Greece. Copyright © 1995-1999 Athanasios Episcopos
If you want your work to be added in this reference list, or if you know of papers or books with neural nets / finance / economics content,
please e-mail your information to episcopo@compulink.gr OPTIONAL: I would appreciate it if you also send me a complimentary hard copy
of your work.
COPYRIGHT & DISCLAIMERS: Copyright © 1995-1998 Athanasios Episcopos. All rights reserved. This document is distributed AS IS and
no warranties explicit or implied are attached to it. It can be retrieved from http//www.compulink.gr/Users/episcopo/neurofin.html
CONTENTS
1) PURPOSE, CONTENT, AND GUIDELINES FOR AUTHORS
2) BOOKS & CHAPTERS IN BOOKS
3) PUBLISHED JOURNAL ARTICLES
4) FORTHCOMING PUBLICATIONS (BOOKS & ARTICLES)
5) CONFERENCE PROCEEDINGS VOLUMES, ARTICLES, REPORTS
6) WORKING PAPERS
7) INTERNET LINKS ON NEURAL NETWORKS, FINANCE & ECONOMICS
8) ACKNOWLEDGMENTS
1) PURPOSE, CONTENT, AND GUIDELINES FOR AUTHORS
These references are intended for the researcher who wants to use artificial neural networks (NN) in finance and economics. The motivation is
that, although NN's have been extensively studied, there is little in the form of a comprehensive list of recent references focused specifically on
the application of NN's in finance and economics. This document aspires to eventually become such a list and serve as a starting point of
research. All sections, including the Working Papers section, will be updated as authors send me their titles. To find the mail address of an
author, you may want to try the search engines.
The reader must carefully evaluate the usefulness of the sources sited here. I cannot guarantee that a paper, journal, book, or site will be useful.
The general guidelines for the type of references that should be included here are as follows. Refereed journal articles, books, papers presented
in major conference proceedings, working academic papers, and links to academic sites are acceptable. Non refereed journals and articles will
be included at the discretion of the list author. Sites affiliated with private firms will be included, provided that they are educationally useful
and that they do not contain direct links to pages of commercial character.
New references will be recorded as frequently as possible with minor editing. Contributors: Try to use a Last Name - First Initial - Paper Title Journal Title - Year - Volume - Pages scheme or something similar to make it easy for me to record these in the file. Avoid abbreviations.
Thanks.
BACK TO CONTENTS
2) BOOKS & CHAPTERS IN BOOKS
Apte, C. and S.J. Hong [1996] "Predicting Equity Returns from Securities Data," in Advances in Knowledge Discovery and Data Mining, The
MIT Press, Cambridge, Mass.
Azoff, M. Neural Network Time Series Forecasting of Financial Markets, John Wiley & Sons, 1994.
Berndt, D. and J. Clifford [1996] "Finding Patterns in Time Series: A Dynmaic Programming Approach," in Advances in Knowledge
Discovery and Data Mining, The MIT Press, Cambridge, Mass.
Baestaens, D., Van den Bergh, W.M. and Wood, D.. Neural Network Solutions for Trading in Financial Markets. Financial Times / Pitman
Publishing, 1994.
Bose, N.K., and P. Liang, Neural Network Fundamentals with Graphs, Algorithms, and Applications, McGraw-Hill, 1996.
Deco, Gustavo, and Dragan Obradovic, An Information-Theoretic Approach to Neural Computing, Springer Verlag, 1996.
Eyden, Robert Van [1996] The Application of Neural Networks in the Forecasting of Share Prices, Finance & Technology Publishing,
Haymarket, VA. ISBN 0-9651332-0-6
Goonatilake, S. and P. Treleaven (Eds.) Intelligent Systems for Finance and Business, John Wiley, 1995.
Hecht-Nielsen, R, Neurocomputing. Reading, MA, Addison-Wesley, 1990.
Hertz, J., Krogh, A. and Palmer, R. Introduction to the Theory of Neural Computation. Redwood City: Addison-Wesley, 1991.
Hagan, Martin, Howard Demuth, and Mark Beale, Neural Network Design, PWS Publishing Company, 1996.
Hiemstra, Y. and C. Haefke (1996), "Two Multilayer Perceptron Training Strategies For Low Frequency S&P500 Prediction", in "Neural
Networks in Finance and Investing", R. R. Trippi and E. Turban (eds.) 2nd Edition, Irwin Professional Publishing Co., Burr Ridge, IL, pp.
511-523
Hiemstra, Ypke (1995), "Modeling Structured Nonlinear Knowledge to Predict Stock Market Returns", in Chaos and Nonlinear Dynamics in
the Financial Markets, R. R. Trippi (ed.), Irwin Professional Publishing Co., Burr Ridge, IL, pp. 163-175
Johnson, J. and A. Whinston. (eds) Advances in Artificial Intelligence in Economics, Finance, and Management, JAI Press, v. 1, 1994.
Madala H.R., Ivakhnenko A.G. Inductive Learning Algorithms for Complex Systems Modeling, CRC Press Inc., Boca Raton, 1994, p.384.
Masters, T. Practical Neural Network Recipes in C++, Academic Press, San Diego, CA (1993).
Moody J., and J. Utans, "Architecture Selection Strategies for Neural Networks: Application to Corporate Bond Rating Prediction'', in Refenes
A.N. (ed.) Neural Networks in the Capital Markets, John Wiley \& Sons, 1994.
Poddig, T. Bankruptcy Prediction: A Comparison with Discriminant Analysis. In Refenes A.N. (ed.) Neural Networks in the Capital Markets,
John Wiley \& Sons, 1994.
Powel, M., Radial Basis Functions for Multivariate Interpolation: A Review, in J., Mason, and M. Cox (eds) Algorithms for Approximation.
Oxford: Clarendon Press (1987).
Refenes, A.-P., (ed.) Neural Networks in the Capital Markets, John Wiley & Sons (1995).
Refenes, A-P., Y. Abu-Mostafa, J. Moody, A. Weigend (editors) Neural Networks in Financial Engineering; Proceedings of the Third
International Conference on Neural Networks in the Capital Markets. Word Scientific 1996.
Ripley, B. Statistical Aspects of Neural Networks. In O.E. Barndorff-Nielsen, J. Jensen, and W. Kendall (eds) Networks and Chaos - Statistical
and Probablilistic Aspects, London: Chapman and Hall, 1993.
Rumelhart, E., & McClelland, J. Parallel Distributed Processing: Explorations in the Microstructure of Cognition. Cambridge, MA, MIT Press,
1986.
Sen, T., R. Oliver, N. Sen. Predicting Corporate Mergers, in Refenes A.N. (ed.) Neural Networks in the Capital Markets, John Wiley \& Sons,
1994.
Simoudis, E. et al. [1996] "Integrating Inductive and Deductive Reasoning for Data Mining," in Advances in Knowledge Discovery and Data
Mining, The MIT Press, Cambridge, Mass.
Siriopoulos, Costas. [1996] Analysis and Control of Univariate Financial Time Series. (In Greek). Typothito. Athens.
Trippi, R., and E. Turban, (eds) Neural Networks in Finance and Investing, Irwin/Probus Publishing, 1993.
Wasserman, P. Advanced Methods in Neural Computing. New York, Van Nostrand Reinhold, 1993.
Weiss, S., and C. Kulikowski, Computer Systems that Learn: Classification and Prediction Methods from Statistics, Neural Nets, Machine
Learning, and Expert Systems, Morgan Kaufman, San Francisco, CA. 1991.
Weigend, A., and N. Gershenfeld, Time Series Prediction: Forecasting the Future and Understanding the Past. Proceedings Volume. Santa Fe
Institute. 1992.
White, A, Gallant, A R, Hornik, K, Stinchcombe, M, & Wooldridge, J. Artificial Neural Networks: Approximation and Learning Theory.
Cambridge, MA. Blackwell Publishers 1992
Wong, F. & Tan C., "Hybrid Neural, Genetic and Fuzzy Systems," in Trading on the Edge (Deboeck G. Ed.), John Wiley & Sons, Inc., 1994.
Wong F., Tan P., "Neural Networks and Genetic Algorithm For Economic Forecasting", AI in Economics and Business Administration, Ed.
I.H. Daniels & Feelders, Netherland.
Wong F., "Hybrid Systems of Neural Network, Fuzzy Logic and Genetic Algorithms", in Advanced Technology for Trading, Portfolio and
Risk Management, Edited by Dr. Guido Deboeck, Advanced Analytical Laboratory, Investment Dept., World Bank.
BACK TO CONTENTS
3) PUBLISHED JOURNAL ARTICLES
Abecasis, Sara M. and Evangelina S. Lapenta [1996] "Nonstationary Time-Series Forecasting within a Neural Network Framework,"
NeuroVe$t Journal, Vol.4, No.4, pp. 9-16.
Abu-Mostafa, Y. "Hints" Neural Computation (1995) 7: 639-671.
Azoff, E. "Reducing Error in Neural Network Time Series Forecasting" Neural Computing & Applications, (1993) 1: 240-247.
Azoff, Michael E., "Monitoring Forecast Performance Using the Breakeven Locus," NeuroVe$t Journal Vol.3, No.2, Mar/Apr 1995, pp. 8-12.
(See web site for NeuroVe$t Journal in the Internet Links section below)
Azoff, E. Michael. "Extracting Meaning from a Neural Network," NeuroVe$t Journal, Vol.3, No.1, Jan/Feb 1995, pp. 7-10. (See Web site for
NeuroVe$t Journal in the Internet Links section below)
M. Aiken, "Forecasting T-Bill Rates with a Neural Network," Technical Analysis of Stocks and Commodities, Vol. 13, No. 5, May 1995, pp.
85-88.
M. Aiken, Jay Krosp, Chitti Govindarajulu, M. Vanjani, and Randy Sexton, "A Neural Network for Predicting Total Industrial Production,"
Journal of End User Computing, 7(2), Spring 1995, 19-23.
Altman, E., G. Marco, and Varetto, F. "Corporate Distress Diagnosis: Comparisons Using Linear Discriminant Analysis and Neural Networks
(the Italian Experience)." Journal of Banking and Finance, 18 (1994) 505-529.
Baldi, P. and Hornik, K (1989) "Neural Networks and Principal Component Analysis: Learning from Examples Without Local Minima",
Neural Networks, 2, 53-8.
Bandy, Howard B. "Thoughts on Desirable Features for a Neural Network-based Financial Trading System," NeuroVe$t Journal, Vol.2, No.3,
May/Jun 1994, pp. 19-22.
Bandy, Howard B. "Neural Network-based Trading System Design: Prediction and Measurement Tasks," NeuroVe$t Journal, Vol.2, No.5,
Sep/Oct 1994, pp. 26-32.
Bansal, A., R. J. Kauffman, and R.R. Weitz, `Comparing the Modeling Performance of Regression and Neural Networks as Data Quality
Varies: A Business Value Approach', Journal of Management Information Systems, 10, 1993, pp 11-32.
Barr, D. and G. Mani, `Using Neural Nets to Manage Investments', AI Expert, 9, 16-21, 1994
Bauer, Richard, Jr. "An Introduction to Genetic Algorithms: A Mutual Fund Screening Example," NeuroVe$t Journal, Vol.2, No.4,Jul/Aug
1994, pp. 16-19.
Billings, Paul. A. "Backpropagation versus Conjugate Gradient Training Methods," NeuroVe$t Journal, Vol.3, No.5, Sep/Oct 1995, pp. 8-12.
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Networks, 10, 1991, pp. 69-94.
Bortoli, Mario [1996] "Nonstationary State Space Models for Multivariate Financial Time Series: An Introduction," NeuroVe$t Journal, Vol.4,
No.4, pp. 17-26.
Bowen, James E. "Distributed Intelligence Systems," NeuroVe$t Journal, Vol.2, No.1, Jan/Feb 1994, pp. 5-7.
Bowen, James. "A Neural Network Project Roadmap, NeuroVe$t Journal, Vol.2, No.5, Sep/Oct 1994, pp. 7-11.
Cheng, Wei, Wagner, Lori, and Chien-Hua Lin [1996] "Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks,"
NeuroVe$t Journal, Vol. 4, No.1, pp. 10-15.
Caldwell, Randall B. [1996] "Three Methods of Neural Network Sensitivity Analysis for Input Variable Reduction: A Case Study in
Forecasting the S&P 500 Index (Part 2)," NeuroVe$t Journal, Vol.4, No.1, pp. 16-22.
Caldwell, Randall B. "Performance Evaluation Overview," NeuroVe$t Journal, Vol.1, No.2, Nov/Dec 1993, pg. 4.
Caldwell, Randall B. "Performance Metrics for Neural Network-based Trading System Development," Vol.3, No.2, Mar/Apr 1995, pp. 13-23.
Caldwell, Randall B. "Improved Prediction Performance Metrics for Neural Network-based Financial Forecasting Systems," NeuroVe$t
Journal, Vol.3, No.5, Sep/Oct 1995, pp. 22-26.
Caldwell, Randall B. "Fuzzy Systems and Trading," NeuroVe$t Journal, Vol.1, No.1, Sep/Oct 1993, pp. 13.
Caldwell, Randall B. "The Stochastics Indicator: A New Perspective Using Neural Networks," NeuroVe$t Journal, Vol.3, No.2, Mar/Apr
1995, pp. 31-35.
Caldwell, Randall B. "Interpretation of Neural Network Outputs using Fuzzy Logic," NeuroVe$t Journal, Vol.2, No.3, May/Jun 1994, pp. 1518.
Caldwell, Randall B. "Design of Neural Network-based Financial Forecasting Systems: Data Selection and Data Processing," NeuroVe$t
Journal, Vol.2, No.5, Sep/Oct 1994, pp. 12-20.
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S&P 500 Index (Part 1)," NeuroVe$t Journal, Vol.3, No.6, Nov/Dec 1995, pp. 22-25.
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S&P500 Index," NeuroVe$t Journal, Jan/Feb 1996, Vol.4, No.1, pp. 16- 22.
Cheng, Wei, Lorry Wagner and Chien-Hua Lin "Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks," NeuroVe$t
Journal, Vol.4, No.1, Jan/Feb 1996, pp. 10-15.
Chenoweth, Tim and Zoran Obradovic, "An Explicit Feature Selection Strategy for Predictive Models of the S&P 500 Index," NeuroVe$t
Journal, Vol.3, No.6, Nov/Dec 1995, pp. 14-21.
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Musavi, M., Ahmed, W., Chan, K., Faris, K. and Hummels, D. On the Training of Radial Basis Function Classifiers. Neural Networks, 5
(1992) 595-603.
Ng, Kay-Hwa and Woon-Seng Gan [1996] "Using a Fuzzy Logic Model for Portfolio Insurance of Japanese Stocks," NeuroVe$t Journal,
Vol.4, No.3, pp. 16-22.
Arnfried Ossen and Martin Schnaub. "Practical tools for derivative instruments based on nonlinear time series prediction." International
workshop on Parallel Applications in Statistics and Economics "Nonlinear Data Analysis" (PASE'95), 1995, Neural Network World, volume 5,
number 4, 1995.
Otter, Petier W. "Feedforward Neural Network and Canonical Correlation Models as Approximators with an Application to One-Year Ahead
Forecasting," NeuroVe$t Journal, Vol.2, No.2, Jan/Feb 1994, pp. 18- 22.
Payne, John. "Secondary Preprocessing," NeuroVe$t Journal, Vol.3, No.1, Jan/Feb 1995, pp. 16-19.
Piramuthu, S., M.J. Shaw, and J. Gentry, `A Classification Approach Using Multilayered Neural Networks' Decision Support Systems, 11,
1994, 509-525.
Refenes A-P., Zapranis A., Francis G. Stock Performance Modeling Using Neural Networks: A Comparative Study with Regression Models,
Neural Networks, 7(2): 375-388, 1994.
Refenes, A-P., M. Azema-Barac, L. Chen, and S. Karoussos. Currency exchange rate prediction and neural network design strategies. Neural
Computing & Applications (1993) 1:46-58.
Refenes, A-P., Y. Bentz, and Burgess, N. "Neural Networks in Investment Management" Journal of Communications and Finance, (1994) 8:
95-101.
Resta M, A comparison between neural networks in portfolio management, 1995, Bozzi Editore, Genova (in Italian)
Resta M, Self Organizing Feature Maps and Stock Exchange Forecasting: an issue on MIB30 index value, 1996, Bozzi Editore, Genova.
Ripley, B. Neural Networks and Related Methods for Classification, Journal of the Royal Statistical Society, 1994, 56(3), 409-456.
Salchengerger, L. M., E. M. Cinar, and N. A. Lash, `Neural Networks: A New Tool for Predicting Thrift Failures', Decision Sciences, 23,
1992, pp. 899-916.
Skalkos, Chris [1996] "Rough Sets Help Time the OEX," NeuroVe$t Journal, Vol.4, No.6, pp. 20-28.
Schoneburg, E. "Stock Price Prediction Using Neural Networks: A Project Report" Neurocomputing (1990) 2: 17-17.
Siriopoulos, Costas and Raphael N. Markellos [1996] "Neural Network Model Development and Optimization," NeuroVe$t Journal, Vol.4,
No.6, pp. 7-13.
Siriopoulos, C., Markellos, R.N. (1996) "Semi-chaotic Financial time series and
Neural Network Forecasting: Evidence from the European Stock Markets", Yugoslav Journal of Operational Research, 6 (2), pp. 23-32
Singleton, J. and Surkan, A. "Modeling the Judgment of Bond Rating Agencies: Artificial Intelligence Applied to Finance" Journal of the
Midwest Finance Association, (1991) 20: 72-80.
Specht, D. F. "Probabilistic Neural Networks", Neural Networks, Nov. 1990.
Stocks, M., T. Singleton, and M. Aiken,"Forecasting Bankruptcies Using a Neural Network," International Business Schools Computing
Quarterly, Spring 1995, Vol. 7, No. 1, pp 32-35.
Swales, G. Jr. and Y. Yoon, `Applying Artificial Neural Networks to Investment Analysis' Financial Analysts Journal, 48, 1992, 78-80.
Tang, Z., C. de Alameida, P. Fishwick. Time series forecasting using neural networks vs. Box-Jenkins methodology. Simulations 1991; 303310.
Tam, K. `Neural Network Applications Models and the Prediction of Bank Bankruptcy', Omega - the International Journal of management
Science, 19, 1991, pp. 429-445.
Tam, K. Y. and M. Kiang `Predicting Bank Failures: A neural Network Approach' Applied Artificial Intelligence, 4, 1990, 265-282.
Tam, K. Y., and Kiang Y. M., "Managerial Applications of Neural Networks: The Case of Bank Failure Predictions", Management Science
(1992) 38: 926-947.
Tam, K. Y. and Kiang, M. "Predicting Bank Failures: A Neural Network Approach". Applied Artificial Intelligence, (1990) 4, 265-82.
Tenorio, Manoel and William Hsu. "Selecting Indicators for Improved Financial Prediction," NeuroVe$t Journal, Vol.1, No.2, Nov/Dec 1993,
pp. 16-20.
Tenti P., "Forecasting Foreign Exchange Rates Using Recurrent Neural Networks", Applied Artificial Intelligence, 10: 567-581, 1996.
Thomason, Mark R. [1996] "Principal Components Analysis for Neural Network Input Variable Reduction and Financial Forecasting (Part 1),"
NeuroVe$t Journal, Vol.4, No.1, pp. 29-32.
Thomason, Mark R. [1996] "Application of Wavelet Filters to Non-Stationary Financial Time Series," NeuroVe$t Journal, Vol.4, No.6, pp. 2937.
Thomason, Mark R. [1996] "Principal Components Analysis for Neural Network Input Variable Reduction and Financial Forecasting (Part 2),"
NeuroVe$t Journal, Vol.4, No.2, pp. 30-34.
Thomason, Mark R. "Nonlinear Trading System Costs: Dollars and Time," NeuroVe$t Journal, Vol.2, No.4, Jul/Aug 1994, pp. 22-24.
Thomason, Mark R. "Applying Nonlinear Financial Tools: Getting Started," NeuroVe$t Journal, Vol.2, No.5, Sep/Oct 1994, pp. 33-34.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #1," NeuroVe$t Journal, Vol.2, No.6, Nov/Dec 1994, pp. 23-27.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #2," NeuroVe$t Journal, Vol.3, No.1, Jan/Feb 1995, pp. 20-27.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #3," NeuroVe$t Journal, Vol.3, No.2, Mar/Apr 1995, pp. 25-30.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #4," NeuroVe$t Journal, Vol.3, No.3, May/Jun 1995, pp. 30-34.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #5," NeuroVe$t Journal, Vol.3, No.4, Jul/Aug 1995, pp. 26-29.
Thomason, Mark R. "A Basic Neural Network-based Trading System Project #6," NeuroVe$t Journal, Vol.3, No.5, Sep/Oct 1995, pp. 29-35.
Thomason, Mark R. " Principal Components Analysis for Neural Network Input Variable Reduction and Financial Forecasting (Part 1),"
NeuroVe$t Journal, Jan/Feb 1996, Vol.4, No.1, pp. 29-32.
Trippi, R. and D. Desieno `Trading Equity Index Futures with a Neural Network' The Journal of Portfolio Management' 19, 1992, pp. 27-33.
Verkooijen W. and Daniels H.: Building Error correction models with Neural Networks, Economic and Financial Computing, vol 5, nr2, pp
101-130.
Udo, G. Neural Network Performance on the Bankruptcy Classification Problem, Computers and Industrial Engineering, 25, 1993, pp. 377380.
Vlasuk A.S., Levkov S.P., Makarenko A.S., Melnik V.S. To the system analisis of geopolitycal relations. In: Stochastic problems of
optimisation theory and the safe. Kiev: In-t. of Cibernetics , 1995. p.68-77. (in Russian)
Wan, E. A. "Neural Networks for Classification: A Bayesian Interpretation" IEEE Transactions on Neural Networks, 1, 303-5.
Wedding, D.K. and Cios, K.J.; "Time Series Forecasting by Combining RBF Networks, Certainty Factors, and the Box-Jenkins Model"
Neurocomputing (9) (special issue on financial applications); August,1995.
White, H. "Option Pricing and Artificial Neural Networks" Proceedings of the 3rd Conference on Neural Networks in the Capital Markets,
London Business School, 1995.
White, H. "Connectionist Nonparametric Regression: Multilayer Feedforward Networks Can Learn Arbitrary Mappings". Neural Networks
(1990) 3 535-549.
White, H. "Learning in Artificial Neural Networks: A Statistical Perspective". Neural Computation, 1989, 1: 425-464
White, H. "Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models" Journal of the American Statistical
Association (1989) 84: 1003-1013.
Wong, Bo K., Thomas A. Bodnovich, and Yakup Selvi, "A Bibliography of Neural Network Business Applications Research: 1988-September
1994." Expert Systems: The International Journal of Knowledge Engineering and Neural Networks, vol 12, no 3 (August 1995) pp. 253-262.
Wong, F. S. "Time Series Forecasting Using Backpropagation Neural Networks". Neurocomputing 2 (1990) 147-159.
Wilson, R. L. and R. Sharda, `Bankruptcy Prediction Using Neural Networks' Decision Support Systems, 11, 1994, 545-557.
Wong, Francis "Neurofuzzy Computing Technology," NeuroVe$t Journal, Vol.2, No.3, May/Jun 1994, pp.8-10.
Wong, Francis. "Neurogenetic Computing Technology," NeuroVe$t Journal, Vol.2, No.4, Jul/Aug 1994, pp.12-15.
Wong, F. Z., P. Z. Wang, T. Goh, and B. Quek, `Fuzzy Neural Systems for Stock Selection', Financial Analysts Journal, 48, 1992, 47-52.
Wong F. and Wang P., "A stock selection strategy using fuzzy neural networks", Neurocomputing 2 Elsevier (1990/91) 233-242
Yamamoto, Y. and Zenios, S. "Predicting Prepayment Rates for Mortgages Using the Cascade- Correlation Learning Algorithm". Journal of
Fixed Income, March 1993: 86-96.
Yoon, Y., G. Swales, Jr., and T. Margavio "A Comparison of Discriminant Analysis Versus Artificial Neural Networks" Journal of Operations
Research (1993) 44(1): 51-60.
Yoon, Y., T. Guimaraes, and G. Swales `Integrating Artificial Neural Networks with Rule-Based Expert Systems' Decision Support Systems,
11, 1994, pp. 497-507.
Yoon, Y., G. Swales Jr., and T. M. Margavio, `A Comparison of Discriminant Analysis Versus Artificial Neural Networks', Journal of
Operational Research Society, 44, 1993, pp. 51-60.
Yoon, Younghoc and George Swales "Predicting Stock Price Performance: A Neural Network Approach," NeuroVe$t Journal, Vol.1, No.1,
Sep/Oct 1993, pp. 14-18.
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4) FORTHCOMING PUBLICATIONS (BOOKS & ARTICLES)
Aiken, M. "Artificial Neural Systems as a Research Paradigm for the Study of Group Decision Support Systems," Group Decision and
Negotiation, in press.
Episcopos, A., Á. Pericli, and J. Hu ‘Commercial Mortgage Default: A Comparison of Logit with Radial Basis Function Networks’,
Forthcoming in the Journal of Real Estate Finance and Economics (1998).
Haefke, C. and Helmenstein, C., "Neural Networks in the Capital Markets: An Application to Index Forecasting" J ournal of Computational
Economics, 1995, Forthcoming.
Haefke, C. and Natter, M. and Soni, T. and Otruba, H., "Adaptive Methods in Macroeconomic Forecasting", Forthcoming in Journal of
Intelligent Systems in Accounting Finance and Management, 1996.
Haefke, C. and Helmenstein, C., Forecasting Austrian IPOs: An Application of Linear and Neural Network Error Correction Models",
Forthcoming in Journal of Forecasting, 1996.
Ingber, A. L. "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading" J Mathl. Computer
Modelling (to be published.) 1996.
Ingber, A.L. "Canonical momenta indicators of financial markets and neocortical EEG" International Conference on Neural Information
Processing (ICONIP'96), Springer, New York, 1996. Forthcoming.
Kil, D. and F. Shin, Pattern Recognition and Prediction: Applications to Signal Characterization. AIP Press, Woodbury, NY, 1996.
Resta M., A neural network oriented trading system for market decisions (in Italian) 1997, Bozzi Ed. Genova
Trippi, R. and Turban, E., Neural Networks in Finance and Investing, Irwin, New York, 1996 (forthcoming).
Van Eyden , Robert J., The Application of Neural Networks in the Forecasting of Share Prices, Finance & Technology Publishing,
Frothcoming March 1996.
Van Eyen, R.J. and J.J.L. Cronje. "Discriminant Analysis Versus Neural Networks in Credit Scoring," NeuroVe$t Journal, Vol.2, No.6,
Nov/Dec 1994, pp. 11-15.
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5) CONFERENCE PROCEEDINGS VOLUMES, ARTICLES, REPORTS
Proceedings of the NNCM (Neural Networks in the Capital Markets) Conference. London Business School and California Institute of
Technology.
1993, (Refenes, ed, London Business School, London, UK)
1994 (Abu-Mostafa, ed., California Institute of Technology, Pasadena, CA.),
1995 (Refenes, A., ed, World Scienticic, 1996)
Proc. of International Workshop on 'Parallel Applications in Statistics and Economics
Proceedings of the IEEE International Conference on Neural Networks.
Proceedings of the Joint Conference on Computational Intelligence for Financial Engineering, IEEE & IAFE, IEEE Press, 1995.
Caldwell, Randall B. (editor) [1997] "Nonlinear Financial Forecasting: Proceedings of the First International Nonlinear Financial Forecasting
Competition", Finance & Technology Publishing, Haymarket, Virginia, USA. ISBN 0-9651332-1-4. <p/
Ahmadi, H. "Testability of the Arbitrage Pricing Theory by Neural Neworks" Proceedings of the IEEE Int. Conf. on Neural Networks, 1990.
M. Aiken, J. Morrison, J. Paolillo, and L. Motiwalla,"Forecasting Gross Domestic Product Using a Neural Network," Decision Sciences
Conference, November 1995.
Bolland, P. and J. T. Connor "Identification of FX Arbitrage Opportunities with a Non-Linear Multivariate Kalman Filter" Proceedings of the
3rd Neural Networks in the Capital Markets Conference, London Business School, 1995.
Bruce, A. G., J. Connor, and R.D. Martin "Prediction with Robustness towards Outliers, Trends, and Level Shifts" Proceedings of the 3rd
Neural Networks in the Capital Markets Conference, London Business School, 1995.
Daniels H. Kamp. B. and Verkooijen W. Design of Neural Networks for Prediction And Classification in Economic Problems, Proceedings of
the IFAC/IFIP/IFORS Symposium on Modelling and Control of NAtinal and Regional Economics, Queensland, Australia, vol .2 1995.
Dutta, S., and Shekhar S., 1988, "Bond Rating: A Non-Conservative Application of Neural Networks", in Proceedings of the IEEE
International Conference on Neural Networks, 2, 443- 450.
Edmonds, A. Multivariate prediction of financial time series using recent developments in chaos theory. Proceedings of the First International
Workshop on Neural Networks in the Capital Markets, London Business School, 1993.
Episcopos, A., A. Pericli, and J. Hu. "Predicting Default on Commercial Mortgages: A Comparison of Logit with RBFN." Proceedings of the
NNCM (Neural Networks in the Capital Markets Conference), London Business School, 1995.
Freedman, R.S. (ed) Artificial Intelligence Applications on Wall Street, Software Engineering Press, New York, 1995.
Ghosh, S., and C. Scotfield, "An Application of a Multiple Neural Network Learning System to Emulation of Mortgage Underwriting
Judgments" Proceedings of IEEE Conf. on Neural Networks, 1988.
Haefke, C. and Helmenstein, C., "Stock Price Forecasting of Austrian Initial Public Offerings Using Artificial Neural Networks" in
Proceedings of Neural Networks in the Capital Markets 1994.
Haefke, C. and Helmenstein, C.. "Predicting Stock Market Averages to Enhance Profitable Trading Strategies" Proceedings of Neural
Networks in the Capital Markets Conf., 1995.
Haefke, C. and Helmenstein, C., "A Neural Network Model to Exploit the Econometric Properties of Austrian IPOs" Proceedings of
Computational Intelligence for Financial Engineering (CIFEr), 1995: 128--135
Hiemstra, Y. and Haefke, C., Predicting Quarterly Excess Returns: Two Multilayer Perceptron Training Strategies, Proceedings of Conference
on Artificial Intelligence in the Wall Street, 1995: 212--217.
Kamijo, K-I, and T. Tanigawa "Stock Price Recognition - A Recurrent Neural Network Approach" Proceedings of the IJCNN Conference, San
Diego, CA (1990).
Kaski, S. and T. Kohonen "Exploratory Data Analysis by the Self-Organizing Map: Structures of Welfare and Poverty in the World"
Proceedings of the 3rd Conference on Neural Networks in the Capital Markets, London Business School, 1995.
Kil, D. and F. Shin, "Stock Price Prediction Using an Integrated Pattern Recognition Paradigm," NNCM- 95, London, UK, October 1995.
Lapedes, A. and R. Farber "Nonlinear Signal Processing Using Neural Networks: Prediction and System Modeling" Report # LA-UR 87-2662,
Los Alamos National Laboratory, 1987.
Levkov S., Makarenko A. Geopolitical relations in post USSR Europe as a subject of mathematical modeling and control. Proc. IFAC
/IFORS/IMACS Sympos. Large Scale Systems :Theory and applications. London, July 1995. Vol.2, p.983-987.
Petridou, E., Markellos, R.N. (1996) "Recognising Patterns in Human Behaviour: An Artificial Neural Network approach" proceedings of 3rd
Balkan Conference on Operational Research
Markellos, R.N., Mills, T.C., Siriopoulos, C. (1996) Handbook of Neural Network Analysis with EXPO/Neural Net(TM), LMT Inc,
Cambridge MA
Markellos, R.N. (1997) "Forecasting and Trading the FTA with EXPO(TM): ‘Confidence’ and Nonlinear Equilibrium Dynamics", proceedings
of 4th International Conference on Forecasting Financial Markets, London
Moody, J. "Improved Estimates for the Rescaled Range and Hurst Exponents" Proceedings of the 3rd Conference on Neural Networks in the
Capital Markets, London Business School, 1995.
Natter, M., Haefke, C., Soni, T. and Otruba, H. "Macroeconomic Forecasting Using Neural Networks" in Proceedings of the Neural Networks
in the Capital Markets Conference, 1994.
Odom, M. and Sharda, R.. "A Neural Network for Bankruptcy Prediction", in IJCNN International Conference on Neural Networks, San
Diego, CA, (1990)
Poggio, T, and Girosi, F. Networks for Approximation and Learning Proceedings of IEEE, 78, 1481- 1497. (1990)
Raghupathi, W., L. Schkade, and B. Raju "A Neural Network Approach to Bankruptcy Prediction" Proceedings of the IEEE 24th Annual
Hawaii Conference on Systems and Sciences, (1991)
Siriopoulos, C., R. Markellos, and K. Sirlantzis "Applications of Artificial Neural Networks in Emerging Financial Markets" Proceedings of
the 3rd Conference on Neural Networks in the Capital Markets, London Business School, 1995.
Soni, T., Otruba, H., Natter, M., Haefke, C. "Empirical Regularities and the Forecasting of Industrial Production" Proceedings of the 1995
Neural Networks in the Capital Markets Conference.
Singleton, T., M. Stocks, and M. Aiken,"Using a Group Decision Support System for Financial Decision Making," SEDSI Conference, March
1995.
Stocks, M., T. Singleton, M. Aiken,"Bankruptcy Prediction: Logistic Analysis vs. an Artifical Neural Network," 1995 Southwest Decision
Sciences Institute Conference, March 1-4, 1995, Houston, TX.
Surkan, A. J. and Singleton, J.C. "Neural Networks for Bond Rating Improved by Multiple Hidden Layers", Proceedings of IEEE Int.
Conference on Neural Networks, (1990).
Pi, H. Dependency analysis and neural network modeling of currency exchange rates. Proceedings of the First International Workshop on
Neural Networks in the Capital Markets, London Business School, 1993.
Poddig, T. Short term forecasting of the USD/DM-exchange rate. Proceedings of the First International Workshop on Neural Networks in the
Capital Markets, London Business School, 1993.
Poggio, T. and F. Girosi. Networks for Approximation and Learning. Proceedings of the IEEE, 78(9) 1990.
Reilly, D. L., Collins, E., Scofield, C., and Ghosh S., 1991, "Risk Assessment of Mortgage Applications with a Neural Network System: An
Update as the Test Portfolio Ages", Proceedings of the IEEE International Conference of Neural Networks, II-479-482.
Resta M.,Self organizing evolutionary models in financial markets forecasting,
Proceeding of WSOM97, Workshop on Self Organizing Maps, Helsinki University of Technology, June4-6 1997, pp.82-86
Tan P., Lim G., Chua K., Wong F, Neo S."A Comparative Study Among Neural Networks, Radial Basis Functions and Regression Models",
Second International Conference on Automation, Robotics and Computer Vision (ICARCV'92), Sept., 1992, Singapore.
Tenti, P. "Forecasting Currency Futures Using Recurrent Neural Networks", Proceedings of the Third International Conference on Artificial
Intelligence Applications on Wall Street, New York, June 6-9 1995.
Utans, J. and J. Moody, "Selecting Neural Network Architectures via the Prediction Risk: Application to Corporate Bond Rating Prediction"
Proceedings of the First International Conference on Artificial Intelligence Applications on Wall Street, IEEE Computer Society Press, Los
Alamitos, CA, 1991.
Utans, J., and Moody, J. Rehfus, S. "Input Variable Selection for Neural Networks: Application to Predicting the U.S. Business Cycle"
Proceedings of IEEE/IAFE Conference on Computational Intelligence for Financial Engineering (CIFEr), New York, NY, April 9-11, 1995.
Wong F., "FastProp: A Selective Training Algorithm For Fast Error Propagation," Proceedings of the IJCNN, 1991, Singapore, pp 2038 2044.
Wong F., Wang P., Goh T., "Fuzzy Neural Systems For Decision Making," Proceedings of the International Joint Conference on Neural
Networks (IJCNN'91), Nov 1991, Singapore.
Wong F., Tan P., Zhang X., "Neural Networks, Genetic Algorithms and Fuzzy Logic for Forecasting," Proceedings of the Third International
Conference on Advanced Trading Technologies AI Applications on Wall Street & Worldwide, New York, Marriott Financial Center, July
1992.
Wong F., "An Integrated Neural Network For Financial Time Series Analysis", Proceedings of the 24th Hawaii International Conference on
System Sciences, Jan. 1991
Wong F., "NeuroForecaster -- A Neural Network For Time Series Predictive Analysis," Technical Report, National University of Singapore,
May 1990.
Wong F., Tan P., "Neural Networks and Genetic Algorithm For Economic Forecasting", to appear in AI in Economics and Business
Administration, Ed. I.H. Daniels & Feelders, Netherland.
Wong F., Lee D., "A Hybrid Neural Network For Stock Selection," Proceedings of The Second Annual International Conference on
ARTIFICIAL INTELLIGENCE APPLICATIONS ON WALL STREET, April 19-22, 1993, New York, NY USA.
Wong F. and Wang P.Z., "A Fuzzy Neural Network Approach For ForexInvestment," International Fuzzy Engineering Symposium '91, Nov.
1991, Japan.
White, H. "Economic Prediction Using Neural Networks: The Case of IBM Daily Stock Returns". Proceedings of the IEEE International
Conference on Neural Networks. 1988.
Wood, D. and Dasgupta, B. "Modeling the Term Structure of Interbank Interest Rates" Proceedings of the 3rd Conference on Neural Networks
in the Capital Markets, London Business School, 1995
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6) WORKING PAPERS
Dobronogov A.V.,Levkov S.P.,Makarenko A.S.,Nikshich D.A. On neuronet approach to the mathematical modeling of geopolitical processes.
Memoir deponented in GNTB of Ukraine n.392-96. 1996. 30 p. (in Russian)
Haefke, C., Natter, M., Soni, T. and Otruba, H. "Can Neural Networks Capture Stylized Facts in Macroeconomic Time Series?" Eastern
Economic Association Annual Meeting 1995 (mimeo).
Haefke, C. and Helmenstein, C., "Neural Networks in the Capital Markets: An Application to Index Forecasting", Vienna University of
Economics and Business Administration Working Paper, No 32
Haefke, C. and Helmenstein, C., "Forecasting Austrian IPOs: An Application of Linear and Neural Network Error Correction Models",
Institute for Advanced Studies, Economics Series (IHS-ES), Paper No 18, 1995.
Haefke, C. and Helmenstein, C., "Estimators for Prediction Risk and the Forecasting of Stock Market Indexes" Institute for Advanced Studies,
Economics Series (IHS-ES), Paper No 20, 1995.
Haefke, C. and Helmenstein, C., "Forecasting Stock Market Averages to Enhace a Profitable Trading Strategy" Institute for Advanced Studies,
Economics Series (IHS-ES), Paper No 21, 1995.
Helmenstein, C. and Haefke, C., "A Comparative Analysis of Stock Market Indexes", Institute for Advanced Studies, Economic Series, (IHSES), 1995.
Ingber, A. L. "Trading markets with canonical momenta and adaptive simulated annealing" Report. Lester Ingber Research, McLean, VA,
1996.
Makarenko A.S. The model of global socioeconomic processes. Basic consepts. Preprint, Kiev, 1993. 40pp. (in Russian)
Makarenko A. About the models of global socioeconomis processes of associative memory type. Doklady Ukrainian Acad.of Sci. 1994. n.12.
p. 84-88 (in Russian)
Zhang X., Wong F. "A Decision Support Neural Network and Its Financial Applications " Technical Report, Institute of Systems Science,
National University of Singapore, June, 1992.
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7) INTERNET LINKS ON NEURAL NETWORKS, FINANCE & ECONOMICS
Newsgroup comp.ai.neural_nets (FAQ file)
Resources for Economists on the Internet (Bill Goffe)
Backpropagator (by Donald Tverter)
Tutorial on NN in Finance (A. Episcopos)
Finance and Technology Publishing (Journal of Computational Intelligence in Finance, formerly NeuroVe$t Journal).
Biblio (Searchable bibliographies, Austrian Research Institute for AI)
Pacific Northwest Laboratory
NEuroNet (King's College, London)
Computational Economics
Group Method of Data Handling (Glushkov Inst. of Cybernetics, Academy of Science, Kiev, Ukraina.)
Foundation for Neural Networks (SNN) Instituto di Matematica Finanziaria, Univ. Degli Studi di Genova
AI-ECON Research Group at the Dept. of Economics, National Chengchi University, Taipei, Taiwan, ROC.
Computational Intelligence Library (Oxford University Press and Institute of Physics)
Image, Speech and Intelligent Systems. University of Southampton, UK.
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8) ACKNOWLEDGMENTS
Many thanks to the following individuals who have sent me information. If I have inadvertently omitted your name, please let me know. Many
thanks to Clarkson University School of Business , and to the directory Greek Indexer.
Dirk Baestaens, Eric Baumes, Tom Bodnovich, Randall Caldwell, Shu-Heng Chen, Chia-Hsuan Yeh, Ching-Wei Tan, Hennie Daniels,
Bhaskar Dasgupta, Jeff Davis, Christian Haefke, Ypke Hiemstra, Janxun Hu, Lester Ingber, Alexey Ivakhnenko, Rasmus Jensen,
Lawrence Kryzanowski, David Kil, Nikiforos Laopodis, A. Makarenko, R. Markellos, Arnfried Ossen, Andreas Pericli, Apostolos-Paul
Refenes, Marina Resta, Jim Sfiridis, Costas Siriopoulos, Paolo Tenti, Donald Tveter, Joachim Utans, Pierre van de Laar, Don Wedding,
Sue K. Wong.
Send your comments, corrections, suggestions, and contributed information to episcopo@compulink.gr. Athanasios Episcopos, Ph.D., Roditsa
Fthiotidos, 35100 Greece.
May your neural networks generalize beneficially
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