Relative movement to support stock forecasting of the Thai market using the neural network | |
| Author | Pongsak Srithongnopawong |
| Call Number | AIT RSPR no.CS-08-04 |
| Subject(s) | Stock exchanges--Computer networks--Thailand Stock exchanges--Thailand--Data processing |
| Note | A research study submitted in partial fulfillment of the requirements for the Degree of Master of Engineering in Computer Science, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. CS-08-04 |
| Abstract | Nowadays, stock analysis is an important task in financial market. Stock analysis methods including fundamental analysis and technical analysis are commonly used among financial professionals to help them on investment. In recent days, AI-based system becomes a common tool to predict stock price. Among AI -based models for stock forecasting, Artificial Neural Network (ANN) is the most popular and accurate model. This research study has proposed data preprocessing by using relative movement to improve performance of ANN-based stock forecasting. Both fundamental and technical indicators are chosen as input to the system. The common preprocessing including Principal Component Analysis (PCA) and Z-Scaling are also applied. The evaluation metrics includes Root Mean Squared Error (RMSE), hit ratio, and total return. The k-fold cross validation is used to utilize the data set of stocks in banking sector. The significance of those three metrics is determined through t-test over cross validation. The experiments show the promising result, in favor of the proposed model. The proposed model outperforms the traditional model, random walk model, and buy & hold strategy for all evaluation metrics. |
| Year | 2008 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. CS-08-04 |
| Type | Research Study Project Report (RSPR) |
| School | School of Engineering and Technology (SET) |
| Department | Department of Information and Communications Technologies (DICT) |
| Academic Program/FoS | Computer Science (CS) |
| Chairperson(s) | Vatcharaporn Esichaikul; |
| Examination Committee(s) | Donyaprueth Krairit;Matthew Dailey; |
| Scholarship Donor(s) | Asian Institute of Technology Fellowship; |
| Degree | Research Studies Project Report (M.Eng.) - Asian Institute of Technology, 2008 |