publication . Article . 2017

Stock prices forecasting based on wavelet neural networks with PSO

Kai-Cheng Wang; Chi-I Yang; Kuei-Fang Chang;
Open Access English
  • Published: 01 Jan 2017 Journal: MATEC Web of Conferences (issn: 2261-236X, Copyright policy)
  • Publisher: EDP Sciences
Abstract
This research examines the forecasting performance of wavelet neural network (WNN) model using published stock data obtained from Financial Times Stock Exchange (FTSE) Taiwan Stock Exchange (TWSE) 50 index, also known as Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), hereinafter referred to as Taiwan 50. Our WNN model uses particle swarm optimization (PSO) to choose the appropriate initial network values for different companies. The findings come with two advantages. First, the network initial values are automatically selected instead of being a constant. Second, threshold and training data percentage become constant values, because PSO assis...
Subjects
free text keywords: Engineering (General). Civil engineering (General), TA1-2040
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