用神经网络预测股指.pdfVIP

Predicting Stock Market Index Trading Signals Using Neural Networks C. D. Tilakaratne, S. A. Morris, M. A. Mammadov, C. P. Hurst Centre for Informatics and Applied Optimization School of Information Technology and Mathematical Sciences University of Ballarat, PO Box 663, Ballarat, Victoria, Australia (ctilakaratne @students., s.morris@, m.mammadov @, c.hurst @)ballarat.edu.au Abstract This study forecasts trading signals of the Australian All Ordinary Index (AORD), one day ahead. These forecasts were based on the current day’s relative return of the Close price of the US SP 500 Index, the UK FTSE 100 Index, French CAC 40 Index and German DAX Index as well as the AORD. The forecasting techniques examined were feedforward and probabilistic neural networks. Performance of the networks was evaluated by using classification/misclassification rate and trading simulations. For both evaluation criteria, feedforward neural networks performed better. Trading simulations suggested that the predicted trading signals are useful for short term traders. 1. Introduction A maj ority of previous studies have aimed at specially predicting the price levels of the stock market indices. However, some recent studies have suggested that trading strategies guided by forecasts on the direction of price change may be more effective and may lead to higher profits [1]. During the last few decades there has been growing interest in applications of artificial neural networks for predicting stock returns [2]. The most commonly used neural networks to predict the trading signals are the feedforward neural networks (FNN) and probabilistic neural network (PNN). Many studies in this area have assessed the predictability of their methods but have inadequately considered m