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Performance analysis of Indian stock market index using neural network time series model

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2 Author(s)
Kumar, D.A. ; Dept. of Comput. Sci., Gov. Arts Coll., Tiruchirappalli, India ; Murugan, S.

Forecasting based on time series data for stock prices, currency exchange rate, price indices, etc., is one of the active research areas in many field viz., finance, mathematics, physics, machine learning, etc. Initially, the problem of financial time sequences analysis and prediction are solved by many statistical models. During the past few decades, a large number of neural network models have been proposed to solve the problem of financial data and to obtain accurate prediction result. The statistical model integrated with ANN (Hybrid model) has given better result than using single model. This work discusses some basic ideas of time series data, need of ANN, importance of stock indices, survey of the previous works and it investigates neural network models for time series in forecasting. The forecasting accuracy is analyzed and measured with reference to an Indian stock market index such as Bombay Stock Exchange (BSE) and NIFTY MIDCAP50 in this study and it is found that the right parameters number of epochs, learning rate and momentum is 2960, 0.28 and 0.5 respectively for forecasting network by conducting various experiment.

Published in:

Pattern Recognition, Informatics and Mobile Engineering (PRIME), 2013 International Conference on

Date of Conference:

21-22 Feb. 2013

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