Stock market price index return forecasting using ANN

Gunter , Senyurt (2012) Stock market price index return forecasting using ANN. In: 3rd International Symposium on Sustainable Development, May 31 - June 01 2012, Sarajevo.

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Abstract

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.

Item Type: Conference or Workshop Item (Paper)
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Economics > Management Department
Depositing User: Users 173 not found.
Date Deposited: 19 Oct 2012 13:42
Last Modified: 19 Oct 2012 13:42
URI: http://eprints.ibu.edu.ba/id/eprint/1186

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