Artificial neural networks for non-stationary time series

Tae Yoon Kim, Kyong Joo Oh, Chiho Kim, Jong Doo Do

Research output: Contribution to journalArticlepeer-review

83 Citations (Scopus)


The use of artificial neural networks (ANN) has received increasing attention in the analysis and prediction of financial time series. Stationarity of the observed financial time series is the basic underlying assumption in the practical application of ANN on financial time series. In this paper, we will investigate whether it is feasible to relax the stationarity condition to non-stationary time series. Our result discusses the range of complexities caused by non-stationary behavior and finds that overfitting by ANN could be useful in the analysis of such non-stationary complex financial time series.

Original languageEnglish
Pages (from-to)439-447
Number of pages9
Issue number1-4
Publication statusPublished - 2004 Oct

Bibliographical note

Funding Information:
This research is supported by Korea Research Foundation Grant 2003-070-C00008. We are very grateful to the anonymous referees for their careful review.

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Cognitive Neuroscience
  • Artificial Intelligence


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