This thesis investigates the application of artificial neural networks (ANNs) for forecasting financial time series (e.g. stock prices).The theory of technical analysis dictates that there are repeating patterns that occur in the historic prices of stocks, and that identifying these patterns can be of help in forecasting future price developments. A system was therefore developed which contains several ``agents'', each producing recommendations on the stock price based on some aspect of technical analysis theory. It was then tested if ANNs, using these recommendations as inputs, could be trained to forecast stock price fluctuations with some degree of precision and reliability.The predictions of the ANNs were evaluated by calculating the Pearson correlation between the predicted and actual price changes, and the ``hit rate'' (how often the predicted and the actual change had the same sign). Although somewhat mixed overall, the empirical results seem to indicate that at least some of the ANNs were able to learn enough useful features to have significant predictive power. Tests were performed with ANNs forecasting over different time frames, including intraday. The predictive performance was seen to decline on the shorter time scales.
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:ntnu-10907 |
| Date | January 2010 |
| Creators | Aamodt, Rune |
| Publisher | Norwegian University of Science and Technology, Department of Computer and Information Science, Institutt for datateknikk og informasjonsvitenskap |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.002 seconds