Validation of artificial neural network model for share price

Turkedjiev, Emil, Angelova, Maia and Busawon, Krishna (2013) Validation of artificial neural network model for share price. In: Proceedings of UKSim 14th International Conference on Computer Modelling and Simulation. IEEE, Piscataway, NJ. ISBN 978-0769546827

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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.

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