Trading ebook Finance - Neural Prediction of Weekly Stock Market Index

The maximum percentage error expressed as a

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Unformatted text preview: e error expressed as a percentage of the desired output is much higher than case 1 and is 13.17 %, while the average error is only 4.18%. The main source of the error is that the network doesn’t predict the initial rise in the market very well, in terms of the index level. This is in fact conservative since, any other model which would have predicted the initial high rise correctly might have given an incorrect and premature buy signal immediately followed by a sell signal. Such rapid changes are not desirable since the number of trades is increased along with the associated transaction costs. 15 Fig. 14: Predicted and desired S&P 500 index 340 Correct trend - 65 out of 75 times S&P 500 index 320 300 Avg. % error = 4.18% Max. % error = 13.17% 280 260 240 220 0 20 40 Data number 60 80 This concludes the presentation of the test results for both the cases. The next section presents the conclusions and possibilities of future work based on this project. 5. Conclusions and Future...
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