Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
7Activity

Table Of Contents

0 of .
Results for:
No results containing your search query
P. 1
Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns

Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns

Ratings: (0)|Views: 9,236|Likes:
Published by Dang Trong Duc

More info:

Published by: Dang Trong Duc on Nov 11, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

09/01/2013

pdf

text

original

 
 
U
SING NEURAL NETWORKS AND GENETICALGORITHMS TO PREDICT STOCK MARKET RETURNSA
THESIS SUBMITTED TO THE
U
NIVERSITY OF
M
ANCHESTERFOR THE DEGREE OF
M
ASTER OF
S
CIENCEIN
A
DVANCED
C
OMPUTER
S
CIENCEIN THE
F
ACULTY OF
S
CIENCE AND
E
NGINEERINGByEfstathios KalyvasDepartment Of Computer Science
 
October 2001
 
2
 C
ontents
Abstract 6Declaration 7Copyright and Ownership 8Acknowledgments 91 Introduction 11
1.1 Aims and Objectives........................................................................................111.2 Rationale.........................................................................................................121.3 Stock Market Prediction..................................................................................121.4 Organization of the Study................................................................................13
2 Stock Markets and Prediction 15
2.1 The Stock Market............................................................................................152.1.1 Investment Theories.....................................................................................152.1.2 Data Related to the Market..........................................................................16 2.2 Prediction of the Market..................................................................................17 2.2.1 Defining the prediction task.........................................................................17 2.2.2 Is the Market predictable?...........................................................................18 2.2.3 Prediction Methods.....................................................................................192.2.3.1 Technical Analysis...............................................................................202.2.3.2 Fundamental Analysis.........................................................................20
 
3
2.2.3.3 Traditional Time Series Prediction......................................................212.2.3.4 Machine Learning Methods.................................................................232.2.3.4.1 Nearest Neighbor Techniques......................................................242.2.3.4.2 Neural Networks..........................................................................242.3 Defining The Framework Of Our Prediction Task...........................................352.3.1 Prediction of the Market on daily Basis.......................................................352.3.2 Defining the Exact Prediction Task.............................................................37 2.3.3 Model Selection...........................................................................................38 2.3.4 Data Selection.............................................................................................39
3 Data 41
3.1 Data Understanding........................................................................................413.1.1 Initial Data Collection.................................................................................413.1.2 Data Description.........................................................................................423.1.3 Data Quality...............................................................................................433.2 Data Preparation............................................................................................443.2.1 Data Construction.......................................................................................443.2.2 Data Formation...........................................................................................46 3.3 Testing For Randomness.................................................................................47 3.3.1 Randomness................................................................................................47 3.3.2 Run Test......................................................................................................48 3.3.3 BDS Test.....................................................................................................51
4 Models 55
4.1 Traditional Time Series Forecasting...............................................................55

Activity (7)

You've already reviewed this. Edit your review.
1 thousand reads
1 hundred reads
bhn2you liked this
sadiebear liked this
rasguli liked this
Dang Trong Duc liked this

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->