A Novel Prediction Method for Stock Index …（一种新的预测方法对股票指数u2026）.pdfVIP

The 7th International Symposium on Operations Research and Its Applications (ISORA’08) Lijiang, China, October 31–Novemver 3, 2008 Copyright © 2008 ORSC APORC, pp. 104–111 A Novel Prediction Method for Stock Index Applying Grey Theory and Neural Networks Shen Yan College of Science, Tianjin University of Technology, Tianjin, P.R. China, xyyacad@ Abstract This paper presents a better prediction model by the integration of neural network tech- nique and grey theory for the stock index. In this paper, the grey theory applied include grey fore- cast model and grey relationship analysis. A GM(l, l) grey forecast model was applied to predict the next day’s stock index. Grey relationship analysis was used to filter the most important quantitative technical indices. To examine the influence of dimension of the model to prediction accuracy, seven different kinds of dimension 5, 6, 8, 10, 12, 14, and15 were tested. The generated data were then regarded as new technical indices in grey relationship analysis and prediction of neural network. Finally, a Recurrent Neural Network was developed to train and predict the price trend of stock index. The conclusion shows our models can provide good prediction for this problem. Keywords Stock Index; GM(l, l); Grey Relationship Analysis; Recurrent Neural Network 1 Introduction In past, the pursuits for predicting stock index mostly used time series like Auto Re- gression Integrated Moving Average (ARIMA) or the neural network models like Back Propagation Neural Network (BPN)[1, 2]. Generally, these models have two common features in the selection of input factors: (1) the emphasis of the quantitative indices. (2) the requirement of large amount of input data. Nevertheless, these quantitative indices are not really suitable for the financial market. Furthermore, the requirement of large amount of input data will lower down the