TY - GEN
T1 - Forecasting closing price indices using neural networks
AU - Patel, P. B.
AU - Marwala, T.
PY - 2006
Y1 - 2006
N2 - Accurate financial prediction is of great practical interest to both individual and institutional investors. This paper proposes an application, which employs artificial neural networks that could be used to assist investors in making financial decisions. The Multi-layer perceptron as well as Radial Basis Function neural network architectures are implemented as classifiers to forecast the closing index price performance. Categorizes that these networks classify are based on a profitable trading strategy that outperforms the long-term "Buy and hold" trading strategy. The Dow Jones Industrial Average, Johannesburg Stock Exchange All Share, Nasdaq 100 and the Nikkei 225 Stock Average indices are considered. The best and worst forecasting classification accuracies obtained were 72% and 64%, respectively. These accuracy levels were attained for the Dow Jones Industrial Average and the Nikkei 225 Stock Average indices, respectively.
AB - Accurate financial prediction is of great practical interest to both individual and institutional investors. This paper proposes an application, which employs artificial neural networks that could be used to assist investors in making financial decisions. The Multi-layer perceptron as well as Radial Basis Function neural network architectures are implemented as classifiers to forecast the closing index price performance. Categorizes that these networks classify are based on a profitable trading strategy that outperforms the long-term "Buy and hold" trading strategy. The Dow Jones Industrial Average, Johannesburg Stock Exchange All Share, Nasdaq 100 and the Nikkei 225 Stock Average indices are considered. The best and worst forecasting classification accuracies obtained were 72% and 64%, respectively. These accuracy levels were attained for the Dow Jones Industrial Average and the Nikkei 225 Stock Average indices, respectively.
UR - http://www.scopus.com/inward/record.url?scp=34548125819&partnerID=8YFLogxK
U2 - 10.1109/ICSMC.2006.385214
DO - 10.1109/ICSMC.2006.385214
M3 - Conference contribution
AN - SCOPUS:34548125819
SN - 1424401003
SN - 9781424401000
T3 - Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
SP - 2351
EP - 2356
BT - 2006 IEEE International Conference on Systems, Man and Cybernetics
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2006 IEEE International Conference on Systems, Man and Cybernetics
Y2 - 8 October 2006 through 11 October 2006
ER -