the interactions between different markets cause collective lead–lag behavior having special statistical properties which
reflect the underlying dynamics. In this work, a cybernetic system of combining the vector autoregression (VAR) and genetic
algorithm (GA) with neural network (NN) is proposed to take advantage of the lead–lag dynamics, to make the NN forecasting
process more transparent and to improve the NN’s prediction capability. Two business case studies are carried out to demonstrate
the advantages of our proposed system. The first one is the tourism demand forecasting for the Hong Kong market. Another business
case study is the modeling and forecasting of Asian Pacific stock markets. The multivariable time series data is investigated
with the VAR analysis, and then the NN is fed with the relevant variables determined by the VAR analysis for forecasting.
Lastly, GA is used to cope with the time-dependent nature of the co-relationships among the variables. Experimental results
show that our system is more robust and makes more accurate prediction than the benchmark NN. The contribution of this paper
lies in the novel application of the forecasting modules and the high degree of transparency of the forecasting process.
- Content Type Journal Article
- Pages 1-13
- DOI 10.1007/s00500-010-0580-4
- Authors
- S. I. Ao, International Association of Engineers Hong Kong China
- Journal Soft Computing – A Fusion of Foundations, Methodologies and Applications
- Online ISSN 1433-7479
- Print ISSN 1432-7643