A comparison of feed-forward and recurrent neural networks in time series forecasting

Abstract

Forecasting performances of feed-forward and recurrent neural networks (NN) trained with different learning algorithms are analyzed and compared using the Mackey-Glass nonlinear chaotic time series. This system is a known benchmark test whose elements are hard to predict. Multi-layer Perceptron NN was chosen as a feed-forward neural network because it is still the most commonly used network in financial forecasting models. It is compared with the modified version of the so-called Dynamic Multi-layer Perceptron NN characterized with a dynamic neuron model, i.e., Auto Regressive Moving Average filter built into the hidden layer neurons. Thus, every hidden layer neuron has the ability to proces..