Neural Network Predictions of Stock Price Fluctuations

Topics: Stock market, Technical analysis, Fundamental analysis Pages: 45 (14314 words) Published: July 8, 2013
Neural Network Predictions of Stock Price Fluctuations

By Wojciech Gryc (wojciech@gmail.com)

Table of Contents
Abstract...................................................................................................................................................... 3 Introduction................................................................................................................................................3 Part 1: The Stock Market Stock Market Psychology.......................................................................................................................... 5 Technical Analysis..................................................................................................................................... 6 Variable Moving Average (VMA)........................................................................................................ 9 Trading Range Breakout (TRB)............................................................................................................ 9 Bollinger Bands...................................................................................................................................10 Money Flow Index (MFI)....................................................................................................................10 Temporal Data.....................................................................................................................................11 Prices................................................................................................................................................... 11 Fundamental Analysis of Stocks..............................................................................................................12 Consumer Price Index (CPI)............................................................................................................... 13 Consumer Sentiment Index ................................................................................................................ 13 Consumer Confidence Index............................................................................................................... 14 New Orders Diffusion Index............................................................................................................... 14 Leading Indicators Index.....................................................................................................................14 Interest Rate of the 30-Year Conventional Mortgage......................................................................... 15 Federal Funds Rate..............................................................................................................................15 Price-Earnings (P/E) Ratio.................................................................................................................. 16 Target Stocks............................................................................................................................................16 Part 2: Neural Networks Neurons and Neural Networks................................................................................................................. 18 Input Connections................................................................................................................................19 Summing and Activation Functions.................................................................................................... 19 Output Connections.............................................................................................................................20 Feedforward Networks.............................................................................................................................21 Backpropagation..................................................................................................................................22...

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