Unformatted text preview: he results obtained are
Case 1: Bull run since Jan, 1994
Fig. 9 shows the normalized training and test data of the S&P500 index, while Fig. 10
shows the normalized training and test data for the interest rates. The data starts from the
850th data point and the training data is of length 275 while the test data has a length of 50
weeks. It can be seen that the long term interest rate is rising for most part of the bull run
(testing data) except at the end, while the short term rate delayed by 20 weeks is rising
initially and then constant. This change from rising to constant is expected to have some
effect on the market. However, in this region the main effect is expected to come from the
market momentum itself, as analyzed by economists elsewhere .
Fig. 11 shows the test results for this case. The testing is done using the trained network
and the output for each week is compared with the desired output. It can be seen from the
figure that the network is able to predict the...
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- Spring '12
- Neural Networks, Artificial neural network, Stock market index, neural network