Trading ebook Finance - Neural Prediction of Weekly Stock Market Index

The inputs used are the sp 500 index return for the

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Unformatted text preview: in buy/sell recommendations. The inputs used are the S&P 500 index return for the past 3 days and the US Treasury rate lagged 2 and 3 months. The authors report that a simple filtering scheme gives better results than the more complex scheme using directional indicators. The average annual rate of return obtained using this approach is close to 15% which is much higher than the return obtained using a buy-hold strategy. This approach is not used in this project owing to its complexity. Some of the literature dealing with stock market prediction is described above. Of these papers, the present project is based on the one week ahead prediction approach of [7]. The next section describes the assumptions underlying the work done in this project, the analysis of data and extraction of features for training of the neural network. 3. Data Analysis and Feature extraction The basis of this project is the assumption that in the long term, interest rates affect the stock market after some delay. There are many models constructed by economic analys...
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