Forecasting the stock market is a complex task, partly because of the random walk behavior of the stock price series. The task is further complicated by the noise, outliers and missing values that are common in financial time series. Despite of this, the subject receives a fair amount of attention, which probably can be attributed to the potential rewards that follows from being able to forecast the stock market. Since artificial neural networks are capable of exploiting non-linear relations in the data, they are suitable to use when forecasting the stock market. In addition to this, they are able to outperform the classic autoregressive linear models. The objective of this thesis is to investigate if the stock market can be forecasted, using the so called error correction neural network. This is accomplished through the development of a method aimed at finding the optimum forecast model. The results of this thesis indicates that the developed method can be applied successfully when forecasting the stock market. Of the five stocks that were forecasted in this thesis using forecast models based on the developed method, all generated positive returns. This suggests that the stock market can be forecasted using neural networks.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-5564 |
| Date | January 2009 |
| Creators | Andersson, Magnus, Palm, Johan |
| Publisher | Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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