- Title
- Predicting the Australian stock market index using neural networks and exploiting dynamical swings and intermarket influences
- Creator
- Pan, Heping; Tilakaratne, Chandima; Yearwood, John
- Date
- 2003
- Type
- Text; Conference paper
- Identifier
- http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/43964
- Identifier
- vital:1520
- Identifier
-
https://doi.org/10.1007/b94701
- Abstract
- This paper presents a computational approach for predicting the Australian stock market index - AORD using multi-layer feed-forward neural networks from the time series data of AORD and various interrelated markets. This effort aims to discover an optimal neural network or a set of adaptive neural networks for this prediction purpose, which can exploit or model various dynamical swings and intermarket influences discovered from professional technical analysis and quantitative analysis. Four dimensions for optimality on data selection are considered: the optimal inputs from the target market (AORD) itself, the optimal set of interrelated markets, the optimal inputs from the optimal interrelated markets, and the optimal outputs. 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; the time signature used as additional inputs provides useful information; and a minimal neural network using 6 daily returns of AORD and 1 daily returns of SP500 plus the day of the week as inputs exhibits up to 80% directional prediction correctness.; E1
- Publisher
- Perth : Springer-Verlag
- Relation
- Paper presented at AI 2003: Advances in Artificial Intelligence - the 16th Australian Conference on AI, Perth : 3rd December, 2003
- Rights
- Copyright Springer
- Rights
- This metadata is freely available under a CCO license
- Subject
- Australian; Stock market; Intermarket; Dynamical swings; Neural networks
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