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Modified Neural Network Algorithms for Predicting Trading Signals of Stock Market Indices
Joint Authors
Mammadov, M. A.
Morris, S. A.
Tilakaratne, C. D.
Source
Journal of Applied Mathematics and Decision Sciences
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-22, 22 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-06-17
Country of Publication
Egypt
No. of Pages
22
Main Subjects
Abstract EN
The aim of this paper is to present modified neural network algorithms to predict whether it is best to buy, hold, or sell shares (trading signals) of stock market indices.
Most commonly used classification techniques are not successful in predicting trading signals when the distribution of the actual trading signals, among these three classes, is imbalanced.
The modified network algorithms are based on the structure of feedforward neural networks and a modified Ordinary Least Squares (OLSs) error function.
An adjustment relating to the contribution from the historical data used for training the networks and penalisation of incorrectly classified trading signals were accounted for, when modifying the OLS function.
A global optimization algorithm was employed to train these networks.
These algorithms were employed to predict the trading signals of the Australian All Ordinary Index.
The algorithms with the modified error functions introduced by this study produced better predictions.
American Psychological Association (APA)
Tilakaratne, C. D.& Mammadov, M. A.& Morris, S. A.. 2009. Modified Neural Network Algorithms for Predicting Trading Signals of Stock Market Indices. Journal of Applied Mathematics and Decision Sciences،Vol. 2009, no. 2009, pp.1-22.
https://search.emarefa.net/detail/BIM-447596
Modern Language Association (MLA)
Tilakaratne, C. D.…[et al.]. Modified Neural Network Algorithms for Predicting Trading Signals of Stock Market Indices. Journal of Applied Mathematics and Decision Sciences No. 2009 (2009), pp.1-22.
https://search.emarefa.net/detail/BIM-447596
American Medical Association (AMA)
Tilakaratne, C. D.& Mammadov, M. A.& Morris, S. A.. Modified Neural Network Algorithms for Predicting Trading Signals of Stock Market Indices. Journal of Applied Mathematics and Decision Sciences. 2009. Vol. 2009, no. 2009, pp.1-22.
https://search.emarefa.net/detail/BIM-447596
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447596