Design and implementation of NN5 for Hong Kong stock price forecasting

被引：39
|
作者：
Tsang, Philip M. [1 ]
Kwok, Paul
Choy, S. O.
Kwan, Reggie
Ng, S. C.
Mak, Jacky
Tsang, Jonathan
Koong, Kai
Wong, Tak-Lam
机构：
[1] Open Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China
[2] Caritas Francis Hui Coll, Hong Kong, Hong Kong, Peoples R China
[3] City Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China
来源：
ENGINEERING APPLICATIONS OF ARTIFICIAL INTELLIGENCE | 2007年 / 20卷 / 04期
关键词：
AI engineering application; NN5; SVM;
D O I：
10.1016/j.engappai.2006.10.002
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A number of published techniques have emerged in the trading community for stock prediction tasks. Among them is neural network (NN). In this paper, the theoretical background of NNs and the backpropagation algorithm is reviewed. Subsequently, an attempt to build a stock buying/selling alert system using a backpropagation NN, NN5, is presented. The system is tested with data from one Hong Kong stock, The Hong Kong and Shanghai Banking Corporation (HSBC) Holdings. The system is shown to achieve an overall hit rate of over 70%. A number of trading strategies are discussed. A best strategy for trading non-volatile stock like HSBC is recommended. (c) 2006 Elsevier Ltd. All rights reserved.
引用
收藏
页码：453 / 461
页数：9
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