3rd Chemical Bank/Imperial College Conference on Forecasting Financial Markets, Londres (Reino Unido). 27-29 marzo 1996
Resumen:
In this paper the analysis of the influence input variables have on the output of a fitted model is presented. It is based on the statistical study of the derivatives of the output of the model with regards to its standardized inputs (also called I/O sensitivities). We have tested the technique on the problem of forecasting the French T-Bond. In the second part we exploit these results to design a more reachable task, which is also more useful in the decision process of the traders. We finally obtain a decision making system which would be implemented in the trading room of the Caisse Nationales du Crédit Agricole (CNCA).
Palabras clave: Radial Basis Function Network, Recurrent networks, variable selection
Fecha de publicación: 1996-03-27.
Cita:
B. Dorizzi, G. Pellieux, F. Jacquet, T. Czernichow, A. Muñoz, Selecting the relevant variables to forecast the Frech T-Bond, 3rd Chemical Bank/Imperial College Conference on Forecasting Financial Markets, Londres (Reino Unido). 27-29 marzo 1996.
