Research Area:  Machine Learning

Abstract:

To improve the prediction capacity of stock price trend, an integrated prediction method is proposed based on Rough Set (RS) and Wavelet Neural Network (WNN). RS is firstly introduced to reduce the feature dimensions of stock price trend. On this basis, RS is used again to determine the structure of WNN, and to obtain the prediction model of stock price trend. Finally, the model is applied to prediction of stock price trend. The simulation results indicate that, through RS attribute reduction, the structure of WNN prediction model can be simplified significantly with the improvement of model performance. The directional symmetry values of prediction, corresponding to SSE Composite Index, CSI 300 Index, All Ordinaries Index, Nikkei 225 Index and Dow Jones Index, are 65.75%, 66.37%, 65.97%, 65.52% and 66.75%, respectively. The prediction results are better than those obtained by other neural networks, SVM, WNN and RS-WNN, which verifies the feasibility and effectiveness of the proposed method of predicting stock price trend.

Keywords:  
Wavelet Neural Network Prediction
Stock Price
Machine Learning
Deep Learning

Author(s) Name:  LeiLei

Publisher name:  ELSEVIER

DOI:  10.1016/j.asoc.2017.09.029

Volume Information:  Volume 62, January 2018, Pages 923-932

Paper Link:   https://www.sciencedirect.com/science/article/abs/pii/S1568494617305689