Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks
碩士 === 中國文化大學 === 資訊管理學系碩士在職專班 === 102 === Securities such as stocks and bonds are examples of most peoples’ investment instruments. If there was a way to predict tomorrow’s closing price, one can draft the investment strategy today in advance, and prepare for essential funding. Therefore, the objec...
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ndltd-TW-102PCCU13960232016-02-21T04:27:16Z http://ndltd.ncl.edu.tw/handle/51845014144138622338 Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks 混合型人工類神經網路應用於台灣50隔日收盤價預測之研究 Chou, Tse-Po 周澤伯 碩士 中國文化大學 資訊管理學系碩士在職專班 102 Securities such as stocks and bonds are examples of most peoples’ investment instruments. If there was a way to predict tomorrow’s closing price, one can draft the investment strategy today in advance, and prepare for essential funding. Therefore, the objective of this study is to predict the next day's closing price. This study uses back-propagation neural network model to predict and compare the performance data with "multiple regression model". The research target is "Polaris Taiwan Top 50 Tracker Fund", a.k.a. the "Taiwan 50", which is an Exchange Traded Fund (ETF). We use 10 years historical data as the training dataset, and use one month out of sample period to verify whether it is correctly predicted. In the previous literature, very few researches simultaneously split "training information" and "test period data", if using neural networks to predict the stock index. In this study, we divide the training data into seven parts, and split the test data into five datasets, producing a total of 35 combinations of forecasting models. We then apply the "time axis shift method" on seven models using "moving window method" to shift 100 consecutive trading days in order to collect the prediction results. Finally, we analyze the generated data to obtain the best forecasting model. The results confirmed that prediction effectiveness of the "back-propagation neural network model" is better than the "multiple regression models". Our best model can predict the rise or fall of the next day closing price with 56% accuracy using the “moving window method”. Keywords: Back-Propagation Neural Network, Moving Window, Taiwan 50 Index ETF Allen Y. Chang 張耀鴻 2014 學位論文 ; thesis 168 zh-TW |
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碩士 === 中國文化大學 === 資訊管理學系碩士在職專班 === 102 === Securities such as stocks and bonds are examples of most peoples’ investment instruments. If there was a way to predict tomorrow’s closing price, one can draft the investment strategy today in advance, and prepare for essential funding. Therefore, the objective of this study is to predict the next day's closing price.
This study uses back-propagation neural network model to predict and compare the performance data with "multiple regression model". The research target is "Polaris Taiwan Top 50 Tracker Fund", a.k.a. the "Taiwan 50", which is an Exchange Traded Fund (ETF). We use 10 years historical data as the training dataset, and use one month out of sample period to verify whether it is correctly predicted.
In the previous literature, very few researches simultaneously split "training information" and "test period data", if using neural networks to predict the stock index. In this study, we divide the training data into seven parts, and split the test data into five datasets, producing a total of 35 combinations of forecasting models. We then apply the "time axis shift method" on seven models using "moving window method" to shift 100 consecutive trading days in order to collect the prediction results. Finally, we analyze the generated data to obtain the best forecasting model.
The results confirmed that prediction effectiveness of the "back-propagation neural network model" is better than the "multiple regression models". Our best model can predict the rise or fall of the next day closing price with 56% accuracy using the “moving window method”.
Keywords: Back-Propagation Neural Network, Moving Window, Taiwan 50 Index ETF
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Allen Y. Chang |
author_facet |
Allen Y. Chang Chou, Tse-Po 周澤伯 |
author |
Chou, Tse-Po 周澤伯 |
spellingShingle |
Chou, Tse-Po 周澤伯 Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
author_sort |
Chou, Tse-Po |
title |
Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
title_short |
Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
title_full |
Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
title_fullStr |
Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
title_full_unstemmed |
Next Day Closing Price Prediction of the Taiwan 50 Exchange Traded Funds with Hybrid Artificial Neural Networks |
title_sort |
next day closing price prediction of the taiwan 50 exchange traded funds with hybrid artificial neural networks |
publishDate |
2014 |
url |
http://ndltd.ncl.edu.tw/handle/51845014144138622338 |
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