메뉴 건너뛰기




Volumn 11, Issue 5, 2016, Pages

Predicting the direction of stock market index movement using an optimized artificial neural network model

Author keywords

[No Author keywords available]

Indexed keywords

ARTIFICIAL NEURAL NETWORK; GENETIC ALGORITHM; MARKET; PREDICTION; ALGORITHM; COMMERCIAL PHENOMENA; ECONOMIC MODEL; ECONOMICS; FORECASTING; INVESTMENT; MOVEMENT (PHYSIOLOGY); PROBABILITY; REPRODUCIBILITY;

EID: 84982135146     PISSN: None     EISSN: 19326203     Source Type: Journal    
DOI: 10.1371/journal.pone.0155133     Document Type: Article
Times cited : (220)

References (39)
  • 1
    • 84925003065 scopus 로고    scopus 로고
    • Investigating the performance of technical indicators in electrical industry in Tehran's Stock Exchange using hybrid methods of SRA, PCA and Neural Networks
    • Gholamiangonabadi D, Mohseni Taheri SD, Mohammadi A, Menhaj MB, editors. Investigating the performance of technical indicators in electrical industry in Tehran's Stock Exchange using hybrid methods of SRA, PCA and Neural Networks. Therm Power Plants IEEE 2014; 2014:75-82.
    • (2014) Therm Power Plants IEEE , vol.2014 , pp. 75-82
    • Gholamiangonabadi, D.1    Mohseni Taheri, S.D.2    Mohammadi, A.3    Menhaj, M.B.4
  • 2
    • 0000679641 scopus 로고    scopus 로고
    • Forecasting stock indices: A comparison of classification and level estimation models
    • Leung MT, Daouk H, Chen A. Forecasting stock indices: a comparison of classification and level estimation models. Int J Forecast. 2000; 16(2):173-190.
    • (2000) Int J Forecast , vol.16 , Issue.2 , pp. 173-190
    • Leung, M.T.1    Daouk, H.2    Chen, A.3
  • 3
    • 80052152011 scopus 로고    scopus 로고
    • Forecasting stock exchange movements using neural networks: Empirical evidence from Kuwait
    • Mostafa MM. Forecasting stock exchange movements using neural networks: Empirical evidence from Kuwait. Expert Syst Appl. 2010; 37(9):6302-6309.
    • (2010) Expert Syst Appl , vol.37 , Issue.9 , pp. 6302-6309
    • Mostafa, M.M.1
  • 4
    • 79953724824 scopus 로고    scopus 로고
    • Using artificial neural network models in stock market index prediction
    • Guresen E, Kayakutlu G, Daim TU. Using artificial neural network models in stock market index prediction. Expert Syst Appl. 2011; 38(8):89-97.
    • (2011) Expert Syst Appl , vol.38 , Issue.8 , pp. 89-97
    • Guresen, E.1    Kayakutlu, G.2    Daim, T.U.3
  • 5
    • 0037138853 scopus 로고    scopus 로고
    • Neural network forecasting of an opening cash price index
    • Lee T, Chiu C. Neural network forecasting of an opening cash price index. Int J Syst Sci. 2002; 33(3):29-37.
    • (2002) Int J Syst Sci , vol.33 , Issue.3 , pp. 29-37
    • Lee, T.1    Chiu, C.2
  • 6
    • 84928480454 scopus 로고    scopus 로고
    • Financial volatility forecasting by nonlinear support vector machine heterogeneous autoregressive model: Evidence from Nikkei 225 stock index
    • Khan MAI. Financial volatility forecasting by nonlinear support vector machine heterogeneous autoregressive model: evidence from Nikkei 225 stock index. Int J Econ Finance. 2014; 3(4):138-150.
    • (2014) Int J Econ Finance , vol.3 , Issue.4 , pp. 138-150
    • Khan, M.A.I.1
  • 7
    • 0001023715 scopus 로고    scopus 로고
    • Application of support vector machines in financial time series forecasting
    • Tay FE, Cao L. Application of support vector machines in financial time series forecasting. Omega. 2001; 29(4):309-317.
    • (2001) Omega , vol.29 , Issue.4 , pp. 309-317
    • Tay, F.E.1    Cao, L.2
  • 9
    • 13544267510 scopus 로고    scopus 로고
    • Forecasting stock market movement direction with support vector machine
    • Huang W, Nakamori Y, Wang S. Forecasting stock market movement direction with support vector machine. Comput Oper Res. 2005; 32(10):13-22.
    • (2005) Comput Oper Res , vol.32 , Issue.10 , pp. 13-22
    • Huang, W.1    Nakamori, Y.2    Wang, S.3
  • 10
    • 79151471046 scopus 로고    scopus 로고
    • Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange
    • Kara Y, Boyacioglu MA, Baykan ÖK. Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange. Expert Syst Appl. 2011; 38(5):11-19.
    • (2011) Expert Syst Appl , vol.38 , Issue.5 , pp. 11-19
    • Kara, Y.1    Boyacioglu, M.A.2    Baykan, Ö.K.3
  • 11
    • 83455222019 scopus 로고    scopus 로고
    • Stock price direction prediction using artificial neural network approach: The case of Turkey
    • Şenol D, Özturan M. Stock price direction prediction using artificial neural network approach: the case of Turkey. J Artif Intell. 2008; 1(2):70-77.
    • (2008) J Artif Intell , vol.1 , Issue.2 , pp. 70-77
    • Şenol, D.1    Özturan, M.2
  • 12
    • 2042515742 scopus 로고    scopus 로고
    • Neural networks in business: A survey of applications (1992-1998)
    • Vellido A, Lisboa PJ, Vaughan J. Neural networks in business: a survey of applications (1992-1998). Expert Syst Appl. 1999; 17(1):51-70.
    • (1999) Expert Syst Appl , vol.17 , Issue.1 , pp. 51-70
    • Vellido, A.1    Lisboa, P.J.2    Vaughan, J.3
  • 13
    • 0003123930 scopus 로고    scopus 로고
    • Forecasting with artificial neural networks: The state of the art
    • Zhang G, Patuwo BE, Hu MY. Forecasting with artificial neural networks: The state of the art. Int J Forecast. 1998; 14(1):35-62.
    • (1998) Int J Forecast , vol.14 , Issue.1 , pp. 35-62
    • Zhang, G.1    Patuwo, B.E.2    Hu, M.Y.3
  • 14
    • 0042279716 scopus 로고    scopus 로고
    • On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market
    • Fernando FR, Christian GM, Simon SR. On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market. Econ Lett. 2000; 69(1):89-94.
    • (2000) Econ Lett , vol.69 , Issue.1 , pp. 89-94
    • Fernando, F.R.1    Christian, G.M.2    Simon, S.R.3
  • 15
    • 79952958333 scopus 로고    scopus 로고
    • Integrating independent component analysis-based denoising scheme with neural network for stock price prediction
    • Lu C. Integrating independent component analysis-based denoising scheme with neural network for stock price prediction. Expert Syst Appl. 2010; 37(10):56-64.
    • (2010) Expert Syst Appl , vol.37 , Issue.10 , pp. 56-64
    • Lu, C.1
  • 16
    • 3242748311 scopus 로고    scopus 로고
    • Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks
    • Versace M, Bhatt R, Hinds O, Shiffer M. Predicting the exchange traded fund DIA with a combination of genetic algorithms and neural networks. Expert Syst Appl. 2004; 27(3):17-25.
    • (2004) Expert Syst Appl , vol.27 , Issue.3 , pp. 17-25
    • Versace, M.1    Bhatt, R.2    Hinds, O.3    Shiffer, M.4
  • 17
    • 0026254768 scopus 로고
    • A general regression neural network
    • Specht DF. A general regression neural network. IEEE Trans Neural Netw. 1991; 2(6):68-76.
    • (1991) IEEE Trans Neural Netw , vol.2 , Issue.6 , pp. 68-76
    • Specht, D.F.1
  • 18
    • 84929207045 scopus 로고    scopus 로고
    • Evolutionary games on multilayer networks: A colloquium
    • Wang Z, Wang L, Szolnoki A, Perc M. Evolutionary games on multilayer networks: a colloquium. Eur Phys J B. 2015; 88(5):1-15.
    • (2015) Eur Phys J B , vol.88 , Issue.5 , pp. 1-15
    • Wang, Z.1    Wang, L.2    Szolnoki, A.3    Perc, M.4
  • 19
    • 84940050310 scopus 로고    scopus 로고
    • Universal scaling for the dilemma strength in evolutionary games
    • PMID: 25979121
    • Wang Z, Kokubo S, Jusup M, Tanimoto J. Universal scaling for the dilemma strength in evolutionary games. Phys Life Rev. 2015; 14:1-30. doi: 10.1016/j.plrev.2015.04.033 PMID: 25979121
    • (2015) Phys Life Rev , vol.14 , pp. 1-30
    • Wang, Z.1    Kokubo, S.2    Jusup, M.3    Tanimoto, J.4
  • 20
    • 84951299803 scopus 로고    scopus 로고
    • Immunity of multiplex networks via acquaintance vaccination
    • Wang Z, Zhao DW, Wang L, Sun GQ, Jin Z. Immunity of multiplex networks via acquaintance vaccination. Europhys Lett. 2015; 112(4):48002-48007.
    • (2015) Europhys Lett , vol.112 , Issue.4 , pp. 48002-48007
    • Wang, Z.1    Zhao, D.W.2    Wang, L.3    Sun, G.Q.4    Jin, Z.5
  • 21
    • 84885618482 scopus 로고    scopus 로고
    • VTG schemes for using back propagation for multivariate time series prediction
    • Jo T. VTG schemes for using back propagation for multivariate time series prediction. Appl Soft Comput. 2013; 13(5):692-702.
    • (2013) Appl Soft Comput , vol.13 , Issue.5 , pp. 692-702
    • Jo, T.1
  • 22
    • 0034316975 scopus 로고    scopus 로고
    • Comparative evaluation of genetic algorithm and backpropagation for training neural networks
    • Sexton RS, Gupta JN. Comparative evaluation of genetic algorithm and backpropagation for training neural networks. Inf Sci. 2000; 129(1):45-59.
    • (2000) Inf Sci , vol.129 , Issue.1 , pp. 45-59
    • Sexton, R.S.1    Gupta, J.N.2
  • 24
    • 84947784510 scopus 로고    scopus 로고
    • Coupled disease-behavior dynamics on complex networks: A review
    • PMID: 26211717
    • Wang Z, Andrews MA, Wu ZX, Wang L, Bauch CT. Coupled disease-behavior dynamics on complex networks: A review. Phys Life Rev. 2015; 15:1-29. doi: 10.1016/j.plrev.2015.07.006 PMID: 26211717
    • (2015) Phys Life Rev , vol.15 , pp. 1-29
    • Wang, Z.1    Andrews, M.A.2    Wu, Z.X.3    Wang, L.4    Bauch, C.T.5
  • 25
    • 0242351905 scopus 로고    scopus 로고
    • Financial time series forecasting using support vector machines
    • Kim KJ. Financial time series forecasting using support vector machines. Neurocomputing. 2003; 55(1):307-319.
    • (2003) Neurocomputing , vol.55 , Issue.1 , pp. 307-319
    • Kim, K.J.1
  • 26
    • 0024866495 scopus 로고
    • On the approximate realization of continuous mappings by neural networks
    • Funahashi K. On the approximate realization of continuous mappings by neural networks. Neural Netw. 1989; 2(3):183-192.
    • (1989) Neural Netw , vol.2 , Issue.3 , pp. 183-192
    • Funahashi, K.1
  • 27
    • 0024880831 scopus 로고
    • Multilayer feedforward networks are universal approximators
    • Hornik K, Stinchcombe M, White H. Multilayer feedforward networks are universal approximators. Neural Netw. 1989; 2(5):359-366.
    • (1989) Neural Netw , vol.2 , Issue.5 , pp. 359-366
    • Hornik, K.1    Stinchcombe, M.2    White, H.3
  • 28
    • 53849110637 scopus 로고    scopus 로고
    • Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach
    • Wang YH. Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach. Expert Syst Appl. 2009; 36(1):64-70.
    • (2009) Expert Syst Appl , vol.36 , Issue.1 , pp. 64-70
    • Wang, Y.H.1
  • 30
    • 84988828223 scopus 로고
    • Neural networks: A new tool for predicting thrift failures
    • Salchenberger LM, Cinar E, Lash NA. Neural networks: A new tool for predicting thrift failures. Decis Sci. 1992; 23(4):899-916.
    • (1992) Decis Sci , vol.23 , Issue.4 , pp. 899-916
    • Salchenberger, L.M.1    Cinar, E.2    Lash, N.A.3
  • 31
    • 0026376527 scopus 로고
    • The effect of initial weights on premature saturation in back propagation learning
    • Lee Y, Oh S, Kim M. The effect of initial weights on premature saturation in back propagation learning. Int Jt Conf Neural Netw. 1991; 1:65-70.
    • (1991) Int Jt Conf Neural Netw , vol.1 , pp. 65-70
    • Lee, Y.1    Oh, S.2    Kim, M.3
  • 32
    • 0000743347 scopus 로고
    • Training feedforward neural networks using genetic algorithms
    • Montana DJ, Davis L. Training feedforward neural networks using genetic algorithms. Int Jt Conf Artif Intell. 1989; 89:762-767.
    • (1989) Int Jt Conf Artif Intell , vol.89 , pp. 762-767
    • Montana, D.J.1    Davis, L.2
  • 33
    • 0034249322 scopus 로고    scopus 로고
    • Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index
    • Kim K, Han I. Genetic algorithms approach to feature discretization in artificial neural networks for the prediction of stock price index. Expert Syst Appl. 2000; 19(2):125-132.
    • (2000) Expert Syst Appl , vol.19 , Issue.2 , pp. 125-132
    • Kim, K.1    Han, I.2
  • 35
    • 84875095589 scopus 로고    scopus 로고
    • Optimizing weights of artificial neural networks using genetic algorithms
    • Jadav K, Panchal M. Optimizing weights of artificial neural networks using genetic algorithms. Int J Adv Res Comput Sci Electron Eng. 2012; 1(10):47-51.
    • (2012) Int J Adv Res Comput Sci Electron Eng , vol.1 , Issue.10 , pp. 47-51
    • Jadav, K.1    Panchal, M.2
  • 36
    • 0032207527 scopus 로고    scopus 로고
    • Comparative study of stock trend prediction using time delay, recurrent and probabilistic neural networks
    • Saad EW, Prokhorov DV, Wunsch DC. Comparative study of stock trend prediction using time delay, recurrent and probabilistic neural networks. IEEE Trans Neural Netw. 1998; 9(6):56-70.
    • (1998) IEEE Trans Neural Netw , vol.9 , Issue.6 , pp. 56-70
    • Saad, E.W.1    Prokhorov, D.V.2    Wunsch, D.C.3
  • 37
    • 56349169042 scopus 로고    scopus 로고
    • A hybrid SOFM-SVR with a filter-based feature selection for stock market forecasting
    • Huang C, Tsai C. A hybrid SOFM-SVR with a filter-based feature selection for stock market forecasting. Expert Syst Appl. 2009; 36(2):29-39.
    • (2009) Expert Syst Appl , vol.36 , Issue.2 , pp. 29-39
    • Huang, C.1    Tsai, C.2
  • 38
    • 12444272695 scopus 로고    scopus 로고
    • A hybrid genetic-neural architecture for stock indexes forecasting
    • Armano G, Marchesi M, Murru A. A hybrid genetic-neural architecture for stock indexes forecasting. Inf Sci. 2005; 170(1):3-33.
    • (2005) Inf Sci , vol.170 , Issue.1 , pp. 3-33
    • Armano, G.1    Marchesi, M.2    Murru, A.3
  • 39
    • 77952358700 scopus 로고    scopus 로고
    • Stock data analysis based on BP neural network
    • Yixin Z, Zhang J. Stock data analysis based on BP neural network. Int Conf Commun Softw Netw. 2010; 39:6-9.
    • (2010) Int Conf Commun Softw Netw , vol.39 , pp. 6-9
    • Yixin, Z.1    Zhang, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.