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. / Doctor of Philosophy
| Identifer | oai:union.ndltd.org:ADTP/257030 |
| Date | January 2007 |
| Creators | Tilakaratne, Chandima . University of Ballarat. |
| Publisher | University of Ballarat |
| Source Sets | Australiasian Digital Theses Program |
| Detected Language | English |
| Rights | Copyright Chandima Dilrukshi Tilakaratne |
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