Trading ebook Finance - Neural Prediction of Weekly Stock Market Index

1 prediction using past stock values only this first

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Unformatted text preview: wn volumes, bond rate etc. 1 Prediction using past stock values only This first category is based on the theory that all the information available regarding any economic indicators is already contained in the time history of the index and future index values are dependent on data upto the present moment. Some applications of this category are discussed below. Dual module neural network One application [6] uses a dual module neural network, with one module learning the long term trend of the market and the other module trained to learn the short term rate. The data used is a 4-tuple of index values, namely the high, low and closing values and trading volume for each day. By taking moving averages and variances, this set of 4-tuples for all days are combined into a 16-tuple which is level insensitive and time-invariant. These extracted features are then used to train the two networks. The long term net uses a training window spanning the last trading quarter while a 12-day window is used fo...
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