Cash Flow Prediction Using a Grey-Box Model

Pang, Y., Opong, K., Moutinho, L. and Li, Y. (2015) Cash Flow Prediction Using a Grey-Box Model. In: 21st International Conference on Automation & Computing (ICAC 2015), Glasgow, Scotland, 11-12 Sep 2015, pp. 1-6. (doi: 10.1109/IConAC.2015.7313951)

Abstract

This paper tackles the problem of financial forecasting by extending methods developed in automation, engineering and computing science. Current methods existing in the literature for firm-level cash flows are first analysed. Then a grey-box modelling method is developed to elevate the performance of cash-flow prediction. Linear panel data modelling is used as a benchmark model. Experiments with out-of-sample tests are used to validate the grey-box approach. Encouragingly, nonlinear grey-box modelling outperforms linear panel data modelling in both one-period-ahead and multi-period-ahead predictions.

• Item Type: Conference Proceedings
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Pang, Mr Yang and Moutinho, Professor Luiz and Opong, Professor Kwaku and Li, Professor Yun
• Authors: Pang, Y., Opong, K., Moutinho, L., and Li, Y.
• College/School: College of Science and Engineering > School of Engineering > Systems Power and Energy; College of Social Sciences > Adam Smith Business School > Management
• Copyright Holders: Copyright © 2015 IEEE
• Publisher Policy: Reproduced in accordance with the copyright policy of the publisher.