An empirical examination of the use of NN5 for Hong Kong stock price forecasting

International Journal of Electronic Finance

Volumn 1, Issue 3, 2007, Pages 373-388

  Tsang, Philip M ^a   Ng, Sin Chun ^a   Kwan, Reggie ^a   Mak, Jacky ^a   Choy, Sheung On ^a  

^a OPEN UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

AI decision tool; E finance; E trading; HSBC; Neural network; NN5; Stock price prediction

Indexed keywords

EID: 38949106237     PISSN: 17460069     EISSN: 17460077     Source Type: Journal    
DOI: 10.1504/IJEF.2007.011505     Document Type: Article

References (36)

1. Baestaens, D.E. and van den Bergh, W.M. (1995) 'Tracking the Amsterdam stock index using neural networks', Neural Networks in the Capital Markets, John Wiley & Sons, Chap. 10, pp.149-162.
2. Box, G. and Jenkins, G. (1976) Time Series Analysis: Forecasting and Control, Holden Day.
3. Choi, Y.B., Muller, J., Kopek, C.V. and Makarsky, J.M. (2006) 'Corporate wireless LAN security: Threats and an effective security assessment framework for wireless information assurance', International Journal of Mobile Communications, Vol. 4, No. 3, pp.266-290.
4. Constantiou, I.D., Damsgaard, J. and Knutsen, L. (2006) 'Exploring perceptions and use of mobile services: User differences in an advancing market', International Journal of Mobile Communications, Vol. 4, No. 3, pp.231-247.
5. Coulson, D.R. (1987) The Intelligent Investor's Guide to Profiting from Stock Market Inefficiency, Probus Publishing.
6. Eyden, R.J. (1996) The Application of Neural Networks in the Forecasting of Share Prices, Finance and Technology Publishing.
7. Fama, E.F. (1965) 'The behavior of stock market prices', Journal of Business, Vol. 38, pp.34-105.
8. Freisleben, B. (1992) 'Stock market prediction with backpropagation networks', Proceedings of Industrial and Engineering Applications of Artificial Intelligence and Expert System, 5th International Conference, Paderborn, Germany, pp.451-460.
9. Haykin, S. (1998) Neural Networks: A Comprehensive Foundation, 2nd ed., Prentice Hall.
10. Kimoto, T., Asakaya, K., Yoda, M. and Takeoka, M. (1990) 'Stock market prediction system with modular neural networks', Proc. IEEE International Joint Conference on Neural Networks, pp.I1-I6.
11. Kumar, S. and Turner, L. (2006) 'Real-world real options: A powerful decision technology tool formanaging risk and flexibility in capital investment projects', International Journal of Electronic Finance, Vol. 1, No. 1, pp.68-93.
12. Laukkanen, T. (2006) 'Customer-perceived value of e-financial services: A means-end approach', International Journal of Electronic Finance, Vol. 1, No. 1, pp.5-17.
13. Malkiel, B.G. (1999) A Random Walk Down Wall Street, 7th ed., W.W. Norton & Company.
14. Matsui, H., Koyama, Y. and Ishiuyama, K. (2005) 'A report of large-scale gaming simulation using a u-mart system in economic education', Proceedings of IEEE Third Int'l Conference on Creating, Connecting and Collaborating through Computing, Washington, pp.179-184.
15. Mistry, J. (2006) 'Differential impacts of information technology on cost and revenue driver relationships in banking', Industrial Management & Data Systems, Vol. 106, No. 3, pp.327-344.
16. Murphy, J.J. (1999) Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications, New York Institute of Finance.
17. Pesaran, H.M. and Timmermann, A. (1994) 'Forecasting stock returns: An examination of stock market trading in the presence of transaction costs', Journal of Forecasting, Vol. 13, pp.335-367.
18. Ritchie, J.C. (1996) Fundamental Analysis: A Back-to-the-Basics Investment Guide to Selecting Quality Stocks, Irwin Professional Publishing.
19. Rumelhart, D.E., Hinton, G.E. and Williams, R.J. (1986a) 'Learning internal representations by backpropagating errors', Nature, Vol. 323, No. 99, pp.533-536.
20. Rumelhart, D.E., Hinton, G.E. and Williams, R.J. (1986b) 'Learning internal representations by backpropagating errors', in D.E. Rumelhart, J.L. McClelland and the PDP Research Group (Eds.) Parallel Distributed Processing, Chap. 8, Vol. 1, pp.318-362, MIT Press.
21. Sato, S. and Hawkins, J. (2002) Electronic Finance: An Overview of the Issues, http://www.aai.unsw.edu.au/rf/Pre-Thinktank_Reading-4.pdf.
22. Skabar, A. and Cloete, I. (2002) 'Neural networks, financial trading and the efficient market hypothesis', Australian Computer Science Communications, Vol. 24, No. 1, pp.241-249.
23. Smith, A.D. (2006) 'Exploring security and comfort issues associated with online banking', International Journal of Electronic Finance, Vol. 1, No. 1, pp.18-48.
24. Trafalis, T.B. and Ince, H. (2000) 'Support vector machine for regression and applications to financial forecasting', Proceedings of the Int'l Joint Conference on Neural Networks, pp.348-353.
25. Tsang, P. (2006) 'Project-WLAN: A longitudinal study of WLAN experiments', International Journal of Mobile Communications, Vol. 4, No. 3, pp.248-265.
26. Tsang, P. and Tse, S. (2005) 'A hedonic model for effective web marketing: An empirical examination', Industrial Management and Data Systems, Vol. 105, No. 8, pp.1039-1052.
27. Tsang, P., Ng, S.C. and Ng, P. (2006) Window-of-Opportunity of HK Jockey Club Game Predication, DataVision.
28. Tsang, P., Ng, S.C. and Wong, T.L. (2006) T396 Artificial Intelligent for Technology Project Guide, OUHK Presentation.
29. Wang, Y., Hung, G., Saratchandran, P. and Sundararajan, N. (2005) 'Time series study of ggap-rbf network: Predictions of NASDAQ stock and nitrate contamination of drinking water', in Proceedings of the Int'l Joint Conference on Neural Networks, Montreal, pp.3127-3132.
30. White, H. (1998) 'Economic prediction using neural networks: The case of the IBM daily stock returns', Proc. IEEE International Conference on Neural Networks, pp.II451-II458.
31. Wong, B.K. (1995) 'A bibliography of neural network business applications research', Expert Systems, Vol. 12, No. 3.
32. Yamashita, T., Hirasawa, K. and Hu, J. (2005) 'Application of multi-branch neural networks to stock market prediction', in Proceedings of the Int'l Joint Conference on Neural Networks, Montreal, pp.2544-2548.
33. Yao, J.T. and Poh, H-L. (1996) 'Equity forecasting: A case study on the klse index. neural networks in financial engineering', Proc. 3rd Intl. Conf. on Neural Networks in the Capital Markets, World Scientific, Singapore, pp.341-353.
34. Yao, J.T., Tan, C.L. and Poh, H-L. (1999) 'Neural networks for technical analysis: A study on KLCI', International Journal of Theoretical and Applied Finance, World Scientific, Singapore, Vol. 2, No. 2, pp.221-241.
35. Yoon, Y. and Swales, G. (1991) 'Predicting stock price performance: A neural network approach', Proc. IEEE 24th Annual International Conference of System Sciences, pp.156-162.
36. Zhora, D. (2005) 'Data preprocessing for stock market forecasting using random subspace classifier network', in Proceedings of the Int'l Joint Conference on Neural Networks, Montreal, pp.2549-2554.