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Forecasting Stock Market with Neural NetworksTsong-Wuu Lin Sr.Department of Computer Science and Information Management, Soochow University, Taiwan Chan-Chien Yu Sr.Department of Computer Science and Information Management, Soochow University, Taiwan January 16, 2009 Abstract: Prediction of stock market returns is an important issue in finance. The aim of this paper is to investigate the profitability of using artificial neural networks (ANNs). In this study, the ANNs predictions are transformed into a simple trading strategy, whose profitability is evaluated against a simple buy-hold strategy. We adopt the neural network approach to analyze the Taiwan Weighted Index and the S&P 500 in the States. Consequently, we find that the trading rule based on ANNs generates higher returns than the buy-hold strategy.
Number of Pages in PDF File: 14 Keywords: neural networks, investment strategy JEL Classification: C63, C82, C88, G11, G14 working papers seriesDate posted: January 19, 2009 ; Last revised: January 28, 2009Suggested CitationContact Information
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