Trading ebook Finance - Neural Prediction of Weekly Stock Market Index

Fig 7 shows the detrended combined training and

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Unformatted text preview: ine from both the training and testing data. Fig. 7 shows the detrended combined training and testing range of the S&P500 index using such an approach. Although, the desired output is still higher at the end of the testing region, the difference is much less than in Fig. 6. 9 Fig. 7: Detrended index in training and test regions 0.08 Detrended S&P 500 index 0.06 0.04 0.02 0 -0.02 -0.04 -0.06 50 100 150 200 Data number 250 300 This detrended index is then used to obtain the 5-week and 10-week moving averages as well as the first differences and the trends. The detrended index is then normalized using equation (1), with A = 0.1 and this normalized detrended index is plotted in Fig. 8, below. Fig. 8: Normalized detrended S&P 500 index 0.8 Normalized detrended index 0.7 0.6 0.5 0.4 0.3 0.2 50 100 150 200 Data number 250 300 Given this data, the network can be expected to learn the trend and give good results. The 5-week and 10-week averages of the detrended index as well as the absolute value of the first difference of the detrended index a...
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This note was uploaded on 07/20/2012 for the course ECON 203 taught by Professor Girishdev during the Spring '12 term at Indian Institute of Technology, Kharagpur.

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