An Intelligent Model for Stock Market Prediction

DOI

10.1080/18756891.2012.718108How to use a DOI?

Keywords

stock market prediction, technical indicator, artificial neural networks, blind source separation

Abstract

This paper presents an intelligent model for stock market signal prediction using Multi-Layer Perceptron (MLP) Artificial Neural Networks (ANN). Blind source separation technique, from signal processing, is integrated with the learning phase of the constructed baseline MLP ANN to overcome the problems of prediction accuracy and lack of generalization. Kullback Leibler Divergence (KLD) is used, as a learning algorithm, because it converges fast and provides generalization in the learning mechanism. Both accuracy and efficiency of the proposed model were confirmed through the Microsoft stock, from wall-street market, and various data sets, from different sectors of the Egyptian stock market. In addition, sensitivity analysis was conducted on the various parameters of the model to ensure the coverage of the generalization issue. Finally, statistical significance was examined using ANOVA test.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - Ibrahim M. Hamed
AU  - Ashraf S. Hussein
AU  - Mohamed F. Tolba
PY  - 2012
DA  - 2012/08/01
TI  - An Intelligent Model for Stock Market Prediction
JO  - International Journal of Computational Intelligence Systems
SP  - 639
EP  - 652
VL  - 5
IS  - 4
SN  - 1875-6883
UR  - https://doi.org/10.1080/18756891.2012.718108
DO  - 10.1080/18756891.2012.718108
ID  - Hamed2012
ER  -