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intelligent neural network forecaster to predict the Standard & Poor 500's index

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Date Issued:
1999
Summary:
In this thesis we present an intelligent forecaster based on neural network technology to capture the future path of the market indicator. This thesis is about the development of a new methodology in financial forecasting. An effort is made to develop a neural network forecaster using the financial indicators as the input variables. A complex recurrent neural network is used to capture the behavior of the nonlinear characteristics of the S&P 500. The main outcome of this research is, a systematic way of constructing a forecaster for nonlinear and non-stationary data series of S&P 500 that leads to very good out-of-sample prediction. The results of the training and testing of the network are presented along with conclusion. The tool used for the validation of this research is "Brainmaker". This thesis also contains a brief survey of available tools for financial forecasting.
Title: An intelligent neural network forecaster to predict the Standard & Poor 500's index.
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Name(s): Shah, Sulay Bipin.
Florida Atlantic University, Degree grantor
Pandya, Abhijit S., Thesis advisor
College of Engineering and Computer Science
Department of Computer and Electrical Engineering and Computer Science
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Issuance: monographic
Date Issued: 1999
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: application/pdf
Extent: 159 p.
Language(s): English
Summary: In this thesis we present an intelligent forecaster based on neural network technology to capture the future path of the market indicator. This thesis is about the development of a new methodology in financial forecasting. An effort is made to develop a neural network forecaster using the financial indicators as the input variables. A complex recurrent neural network is used to capture the behavior of the nonlinear characteristics of the S&P 500. The main outcome of this research is, a systematic way of constructing a forecaster for nonlinear and non-stationary data series of S&P 500 that leads to very good out-of-sample prediction. The results of the training and testing of the network are presented along with conclusion. The tool used for the validation of this research is "Brainmaker". This thesis also contains a brief survey of available tools for financial forecasting.
Identifier: 9780599540705 (isbn), 15741 (digitool), FADT15741 (IID), fau:12496 (fedora)
Collection: FAU Electronic Theses and Dissertations Collection
Note(s): College of Engineering and Computer Science
Thesis (M.S.)--Florida Atlantic University, 1999.
Subject(s): Neural networks (Computer science)
Stock price forecasting
Time-series analysis
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/15741
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.