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to prove such a correlation. One of the simplest models is that proposed by Martin Zweig
in , where some fundamental indicators such as the prime lending rate, the Federal
reserve lending rate and the consumer price index as well some technical indicators such
as the up/down volume ratio, bullish/bearish index based on newspaper advertisements and
other momentum indicators are combined in a super model. The output of the supermodel
is in terms of percent points which is used to obtain buy/sell signals so as to time the
market in the long run. The model is shown to be able to predict most of the big bull and
bear markets over the past years. Construction of such a model requires some amount of
experience in dealing with the stock market, although once it is constructed, the
functioning can be autonomous.
In this project, an attempt is made to construct a neural network based model. The input
data, which was kindly made available by Prof. Robert Porter includes the short term (3month) interest rate, the long term (10-year) interest rate charged by banks and the
Standard and Poor’s 500 stock index (S&P 500)...
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- Spring '12