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Table Of Contents

Copyright and Ownership
Acknowledgments
1.1 Aims and Objectives
1.2 Rationale
1.3 Stock Market Prediction
1.4 Organization of the Study
2.1 The Stock Market
2.1.1 Investment Theories
2.1.2 Data Related to the Market
2.2 Prediction of the Market
2.2.1 Defining the prediction task
2.2.2 Is the Market predictable?
2.2.3 Prediction Methods
2.2.3.1 Technical Analysis
2.2.3.2 Fundamental Analysis
2.2.3.3 Traditional Time Series Prediction
2.2.3.4 Machine Learning Methods
2.2.3.4.2 Neural Networks
2.3 Defining The Framework Of Our Prediction Task
2.3.1 Prediction of the Market on daily Basis
2.3.2 Defining the Exact Prediction Task
2.3.3 Model Selection
2.3.4 Data Selection
3.1 Data Understanding
3.1.1 Initial Data Collection
3.1.2 Data Description
3.1.3 Data Quality
3.2 Data Preparation
3.2.1 Data Construction
3.2.2 Data Formation
3.3 Testing For Randomness
3.3.1 Randomness
3.3.2 Run Test
3.3.3 BDS Test
4.1 Traditional Time Series Forecasting
4.1.1 Univariate and Multivariate linear regression
4.1.2 Use of Information Criteria to define the optimum lag structure
4.1.3 Evaluation of the AR model
4.1.4 Checking the residuals for non-linear patters
4.1.5 Software
4.2 Artificial Neural Networks
4.2.1 Description
4.2.1.1 Neurons
4.2.1.2 Layers
4.2.1.3 Weights Adjustment
4.2.2 Parameters Setting
4.2.2.1 Neurons
4.2.2.2 Layers
4.2.2.3 Weights Adjustment
4.2.3 Genetic Algorithms
4.2.3.1 Description
4.2.3.2 A Conventional Genetic Algorithm
4.2.3.3 A GA that Defines the NN’s Structure
4.2.4 Evaluation of the NN model
4.2.5 Software
5.1 Experiment I: Prediction Using Autoregressive Models
5.1.1 Description
5.1.2 Application of Akaike and Bayesian Information Criteria
5.1.3 AR Model Adjustment
5.1.4 Evaluation of the AR models
5.1.5 Investigating for Non-linear Residuals
5.2 Experiment II: Prediction Using Neural Networks
5.2.1 Description
5.2.2 Search Using the Genetic Algorithm
5.2.2.1 FTSE
5.2.2.2 S&P
5.2.3 Selection of the fittest Networks
5.2.4 Evaluation of the fittest Networks
5.2.5 Discussion of the outcomes of Experiment II
5.3 Conclusions
Conclusion
6.1 Summary of Results
6.2 Conclusions
6.3 Future Work
6.3.1 Input Data
6.3.2 Pattern Detection
6.3.3 Noise Reduction
Appendix I
Appendix II
References
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Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns

Using Neural Networks and Genetic Algorithms to Predict Stock Market Returns

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Published by: Murilo on Jul 26, 2011
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07/28/2011

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