Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/42801
Title: Forecasting Stock Index Increments Using Neural Networks with Trust Region Methods
Authors: Phua, P.K.H. 
Zhu, X.
Koh, C.H. 
Issue Date: 2003
Source: Phua, P.K.H.,Zhu, X.,Koh, C.H. (2003). Forecasting Stock Index Increments Using Neural Networks with Trust Region Methods. Proceedings of the International Joint Conference on Neural Networks 1 : 260-265. ScholarBank@NUS Repository.
Abstract: This paper presents a study of using artificial neural networks in predicting stock index increments. The data of five major stock exchange indices, DAX, DJIA, FTSE-100, HSI and NASDAQ, are applied to test our network model. Unlike other financial forecasting models, our model directly uses the component stocks of the index as inputs for the prediction. For the neural network training, a trust region dogleg path algorithm is applied. For comparison purposes, other neural -network training algorithms are also considered, in particular, optimization techniques with line searches are applied for solving the same class of problems. Computational results from five different financial markets show that the trust region based neural network model obtained better results compared with the results obtained by other neural network models. In particular, we show that our model is able to forecast the sign of the index increments with an average success rate above 60% in all the five stock markets. Furthermore, the best prediction result in our applications reaches the accuracy rate of 74%.
Source Title: Proceedings of the International Joint Conference on Neural Networks
URI: http://scholarbank.nus.edu.sg/handle/10635/42801
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Page view(s)

60
checked on Dec 16, 2017

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.