Validation of artificial neural network model for share price

Emil Turkedjiev, Maia Angelova, Krishna Busawon

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

The study’s objective is to justify the use of the ANN for the short-term prediction of share prices, particularly in the banking sector. The assumption is that financial share time-series contain significant non-linearity and that the ANN can be utilized effectively. The ANN model is compared with a linear regression model. Non-linearity is shown by deduction via a comparison of experimental results using the ANN and linear regression models. The experiments are based on actual monthly (four-week) period datasets, and the performance of the models is formally evaluated. The conclusions are positive but not conclusive possibly due to the limitations of the data set.
Original languageEnglish
Title of host publicationProceedings of UKSim 14th International Conference on Computer Modelling and Simulation
EditorsDavid Al-Dabass, Alessandra Orsoni, Richard Cant
Place of PublicationPiscataway, NJ
PublisherIEEE
Number of pages674
ISBN (Print)978-0769546827
DOIs
Publication statusPublished - 2013

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