ANN Approach to Speculate Stock Performance for Intra …：人工神经网络方法预测股价表现为内….ppt

ANN Approach to Speculate Stock Performance for Inter-Day TradersECE 539Chris Churas5/05/2000 Outline Problem Description Data Acquisition Method Overview Neural Network Design ANN Inputs Outputs Performance and Results Conclusions Problem Description Given information pertaining to a particular stock. I want to be able to predict whether a stock will increase or decrease in price. The time interval of prediction will be between one and twenty minutes. The information will include stock price, current trading volume, P/E ratio and other factors. Data Acquisition Gathered data from Downloading of data from entrypoint Wrote Perl program getstocks.pl to download and parse stock data. This program also stored stock data in Mysql Database The Perl programs getdata.pl and setdata.pl took data from Database and wrote to ascii file for input into Neural Network Method Overview Use of 2 Layer Artificial Neural Network Input various stock attributes into ANN Output binary value that denotes whether stock will increase or decrease in future Neural Network Design ANN Inputs Earnings Per Share P/E Ratio Avg. Daily Volume Common Shares Out 52 Week High 52 Week Low ANN 5 Outputs The ANN output is 5 binary bits. Which translate to the following: 1 0 0 0 0 = Decrease in stock price threshold 0 1 0 0 0 = Decrease in stock price = threshold 0 0 1 0 0 = No change in stock price 0 0 0 1 0 = Increase in stock price = threshold 0 0 0 0 1 = Increase in stock price threshold Note: Threshold is set by user in setdata.pl ANN 3 Outputs The ANN output is 3 binary bits. Which translate to the following: 1 0 0 = Decrease in stock price 0 1 0 = No change in stock price 0 0 1 = Increase in stock price ANN Configuration ANN Parameters Used Learning Rate: 0.5 Momentum: 0.9 Epoch: 500 Threshold: 0.15% of stock price Data Statistics Per Stock Number of Training Samples: 1200-1500 Number of Testing Samples: 300 Results 5 Output ANN performance marginal Only predictions