Stock market price index return forecasting using ANN

Stock market price index return forecasting using ANN

Gunter , Senyurt

Even though many new data mining techniques have been introduced in prediction estimation, there is still no single best solution to all financial problems. In this study, an artificial neural network (ANN) model is utilized for predicting price index returns through regression. Ten technical market indicators, seven macroeconomic variables, a couple of other international market indices and a sliding window of ten inputs make up the 30 attributes used in this study. Different combinations of attribute sets is experimented with different ANN model parameter values to find the highest forecasting accuracy. Keywords: Price index return, ANN, Forecasting, Data Mining Techniques.

Conference or Workshop Item
PeerReviewed

2012-05-31

1186