Effectiveness of using quantified intermarket influence for predicting trading signals of stock markets
- Tilakaratne, Chandima, Mammadov, Musa, Morris, Sidney
- Authors: Tilakaratne, Chandima , Mammadov, Musa , Morris, Sidney
- Date: 2007
- Type: Text , Conference paper
- Relation: Paper presented at Data Mining and Analytics 2007: Sixth Australasian Data Mining Conference, AusDM 2007 Vol. 70, p. 171-179
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- Reviewed:
- Authors: Tilakaratne, Chandima , Mammadov, Musa , Morris, Sidney
- Date: 2007
- Type: Text , Conference paper
- Relation: Paper presented at Data Mining and Analytics 2007: Sixth Australasian Data Mining Conference, AusDM 2007 Vol. 70, p. 171-179
- Full Text:
- Reviewed:
Quantification of intermarket influence on the Australian All Ordinary Index based on optimization techniques
- Tilakaratne, Chandima, Morris, Sidney, Mammadov, Musa, Hurst, Cameron
- Authors: Tilakaratne, Chandima , Morris, Sidney , Mammadov, Musa , Hurst, Cameron
- Date: 2007
- Type: Text , Conference paper
- Relation: Paper presented at CTAC 2006: The 13th Biennial Computational Techniques and Applications Conference p. 42-49
- Full Text:
- Reviewed:
- Authors: Tilakaratne, Chandima , Morris, Sidney , Mammadov, Musa , Hurst, Cameron
- Date: 2007
- Type: Text , Conference paper
- Relation: Paper presented at CTAC 2006: The 13th Biennial Computational Techniques and Applications Conference p. 42-49
- Full Text:
- Reviewed:
Stock market predictions based on quantified intermarket influences
- Authors: Tilakaratne, Chandima
- Date: 2007
- Type: Text , Thesis , PhD
- Full Text:
- Description: This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.
- Description: Doctor of Philosophy
- Authors: Tilakaratne, Chandima
- Date: 2007
- Type: Text , Thesis , PhD
- Full Text:
- Description: This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.
- Description: Doctor of Philosophy
Predicting Australian stock market index using neural networks exploiting dynamical swings and intermarket influences
- Pan, Heping, Tilakaratne, Chandima, Yearwood, John
- Authors: Pan, Heping , Tilakaratne, Chandima , Yearwood, John
- Date: 2005
- Type: Text , Journal article
- Relation: Journal of Research and Practice in Information Technology Vol. 37, no. 1 (2005), p. 43-55
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- Reviewed:
- Description: This paper presents a computational approach for predicting the Australian stock market index AORD using multi-layer feed-forward neural networks front the time series data of AORD and various interrelated markets. This effort aims to discover an effective neural network, or a set of adaptive neural networks for this prediction purpose, which can exploit or model various dynamical swings and inter-market influences discovered from professional technical analysis and quantitative analysis. Within a limited range defined by our empirical knowledge, three aspects of effectiveness on data selection are considered: effective inputs from the target market (AORD) itself, a sufficient set of interrelated markets,. and effective inputs from the interrelated markets. Two traditional dimensions of the neural network architecture are also considered: the optimal number of hidden layers, and the optimal number of hidden neurons for each hidden layer. Three important results were obtained: A 6-day cycle was discovered in the Australian stock market during the studied period; the time signature used as additional inputs provides useful information; and a basic neural network using six daily returns of AORD and one daily, returns of SP500 plus the day of the week as inputs exhibits up to 80% directional prediction correctness.
- Description: C1
- Description: 2003001440
- Authors: Pan, Heping , Tilakaratne, Chandima , Yearwood, John
- Date: 2005
- Type: Text , Journal article
- Relation: Journal of Research and Practice in Information Technology Vol. 37, no. 1 (2005), p. 43-55
- Full Text:
- Reviewed:
- Description: This paper presents a computational approach for predicting the Australian stock market index AORD using multi-layer feed-forward neural networks front the time series data of AORD and various interrelated markets. This effort aims to discover an effective neural network, or a set of adaptive neural networks for this prediction purpose, which can exploit or model various dynamical swings and inter-market influences discovered from professional technical analysis and quantitative analysis. Within a limited range defined by our empirical knowledge, three aspects of effectiveness on data selection are considered: effective inputs from the target market (AORD) itself, a sufficient set of interrelated markets,. and effective inputs from the interrelated markets. Two traditional dimensions of the neural network architecture are also considered: the optimal number of hidden layers, and the optimal number of hidden neurons for each hidden layer. Three important results were obtained: A 6-day cycle was discovered in the Australian stock market during the studied period; the time signature used as additional inputs provides useful information; and a basic neural network using six daily returns of AORD and one daily, returns of SP500 plus the day of the week as inputs exhibits up to 80% directional prediction correctness.
- Description: C1
- Description: 2003001440
A neural network approach for predicting the direction of the Australian stock market index
- Authors: Tilakaratne, Chandima
- Date: 2004
- Type: Text , Thesis , Masters
- Full Text:
- Description: This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.
- Description: Master of Information Technology by Research
- Authors: Tilakaratne, Chandima
- Date: 2004
- Type: Text , Thesis , Masters
- Full Text:
- Description: This research investigated the feasibility and capability of neural network-based approaches for predicting the direction of the Australian Stock market index (the target market). It includes several aspects: univariate feature selection from the historical time series of the target market, inter-market analysis for finding the most relevant influential markets, investigations of the effect of time cycles on the target market and the discovery of the optimal neural network architectures. Previous research on US stock markets and other international markets have shown that the neural network approach is one of most powerful techniques for predicting stock market behaviour. Neural networks are capable of capturing the non-linear stochastic and chaotic patterns in the stock market time series data. This study discovered that the relative return series of the Open, High, Low and Close prices of the target market, show 6-day cycles during the studied period of about 14 years. Multi-layer feedforward neural networks trained with a backpropagation algorithm were used for the experiments. Two major testing methods: testing with randomly selected test data and forward testing, were examined and compared. The best neural network developed in this study has achieved 87%, 81% 83% and 81% accuracy respectively in predicting the next-day direction of the relative return of the Open, High, Low and Close prices of the target market. The architecture of this network consists of 33 input features, one hidden layer with 3 neurons and 4 output neurons. The best input features set includes the relative returns from 1 to 6 days in the past of the Open, High, Low and Close prices of the target market, the day of the week, and the previous day’s relative return of the Close prices of the US S&P 500 Index, US Dow Jones Industrial Average Index, US Gold/Silver Index, and the US Oil Index.
- Description: Master of Information Technology by Research
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