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Forecasting Stock Market with Neural Networks

14 Pages Posted: 19 Jan 2009 Last revised: 28 Jan 2009

See all articles by Tsong-Wuu Lin

Tsong-Wuu Lin

Department of Computer Science and Information Management, Soochow University, Taiwan

Chan-Chien Yu

Department of Computer Science and Information Management, Soochow University, Taiwan

Date Written: 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.

Keywords: neural networks, investment strategy

JEL Classification: C63, C82, C88, G11, G14

Suggested Citation

Lin, Tsong-Wuu and Yu, Chan-Chien, Forecasting Stock Market with Neural Networks (January 16, 2009). Available at SSRN: https://ssrn.com/abstract=1327544 or http://dx.doi.org/10.2139/ssrn.1327544

Tsong-Wuu Lin

Department of Computer Science and Information Management, Soochow University, Taiwan ( email )

Chan-Chien Yu (Contact Author)

Department of Computer Science and Information Management, Soochow University, Taiwan ( email )

Room 4217, No.56, Sec. 1, Guiyang St.,
Zhongzheng District,
Taipei, 100
Taiwan
886-918-851-525 (Phone)
886-2-23756878 (Fax)

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