Student Number : 9702018F -
MSc(Eng) Dissertation -
School of Electrical and Information Engineering -
Faculty of Engineering and the Built Environment / Due to the volatile nature of the world economies, investing is crucial in ensuring an individual is prepared for future
financial necessities. This research proposes an application, which employs computational intelligent methods that could
assist investors in making financial decisions. This system consists of 2 components. The Forecasting Component (FC) is
employed to predict the closing index price performance. Based on these predictions, the Stock Quantity Selection
Component (SQSC) recommends the investor to purchase stocks, hold the current investment position or sell stocks in
possession. The development of the FC module involved the creation of Multi-Layer Perceptron (MLP) as well as Radial
Basis Function (RBF) neural network classifiers. TCategorizes that these networks classify are based on a profitable trading
strategy that outperforms the long-term “Buy and hold” trading strategy. The Dow Jones Industrial Average, Johannesburg
Stock Exchange (JSE) All Share, Nasdaq 100 and the Nikkei 225 Stock Average indices are considered. TIt has been
determined that the MLP neural network architecture is particularly suited in the prediction of closing index price
performance. Accuracies of 72%, 68%, 69% and 64% were obtained for the prediction of closing price performance of the
Dow Jones Industrial Average, JSE All Share, Nasdaq 100 and Nikkei 225 Stock Average indices, respectively. TThree
designs of the Stock Quantity Selection Component were implemented and compared in terms of their complexity as well as
scalability. TComplexity is defined as the number of classifiers employed by the design. Scalability is defined as the ability of
the design to accommodate the classification of additional investment recommendations. TDesigns that utilized 1, 4 and 16
classifiers, respectively, were developed. These designs were implemented using MLP neural networks, RBF neural
networks, Fuzzy Inference Systems as well as Adaptive Neuro-Fuzzy Inference Systems. The design that employed 4
classifiers achieved low complexity and high scalability. As a result, this design is most appropriate for the application of
concern. It has also been determined that the neural network architecture as well as the Fuzzy Inference System
implementation of this design performed equally well.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/2191 |
| Date | 01 March 2007 |
| Creators | Patel, Pretesh Bhoola |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | 1891927 bytes, application/pdf, application/pdf |
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