Forecasting of Stock Market Indices Using Artificial Neural Network

Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003

18 Pages Posted: 10 Feb 2013

See all articles by Dr.Jay Desai

Dr.Jay Desai

B.K.School of Business Management, Gujarat University

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research

Nisarg A Joshi

Shri Chimanbhai Patel Institute of Management & Research

Date Written: July 1, 2012

Abstract

This paper presents a computational approach for predicting the S&P CNX Nifty 50 Index. A neural network based model has been used in predicting the direction of the movement of the closing value for the next day of trading. The model presented in the paper also confirms that it can be used to predict price trend of the stock market. After studying the various features of the network model, a suitable model for stocks forecast is proposed. The model has used the preprocessed data set of closing value of S&P CNX Nifty 50 Index. The training data set encompasses the trading days from 1st January, 2010 to 30th November, 2011. The test data set encompasses the trading days from 1st January, 2011 to 31st December, 2011. Accuracy of the performance of the neural network is compared with buy and hold return of the index. The model generated returns of 59.84% against buy and hold return of -26.08%. The average accuracy of target forecasting is found to be 82%.

Keywords: Artificial Neural Network, ANN, Stock Forecasting, Technical Analysis, Quantitative Trading

JEL Classification: C31, C32, C53, C61, C63, C45

Suggested Citation

Desai, Jay and Trivedi, Arti and Joshi, Nisarg A, Forecasting of Stock Market Indices Using Artificial Neural Network (July 1, 2012). Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003, Available at SSRN: https://ssrn.com/abstract=2214219

Jay Desai (Contact Author)

B.K.School of Business Management, Gujarat University ( email )

Navrangpura
Ahmedabad, Gujarat 380015
India
+91-79-26301342 (Phone)

HOME PAGE: http://www.jaydesai.net

Arti Trivedi

Shri Chimanbhai Patel Institute of Management & Research ( email )

Opp. Karnavati Club
S G Highway
Ahmedabad, 380015
India
+91-79-30076616 (Phone)

HOME PAGE: http://www.artitrivedi.com

Nisarg A Joshi

Shri Chimanbhai Patel Institute of Management & Research ( email )

Opp. Karnavati Club,
S.G. Highway
Ahmedabad, 380015
India

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