STOCK RETURNS PREDICTION BY USING ARTIFICIAL NEURAL NETWOK MODEL FOR PAKISTAN STOCK EXCHANGE

Syed Aziz Rasool, Adiqa Kausar Kiani

Abstract


Artificial neural networks are extensively used to predict the financial time series. This study implements the neural network model for predicting the daily returns of the Pakistan Stock Exchange (PSE). Such an application for PSE is very rare. A multi-layer perception network is used for the model used in this study, while the network is trained using the Error Back Propagation algorithm. The results showed that the predictive power of the network was performed by the return of the previous day rather than the input of the first three days. Therefore, this study showed satisfactory results for PSE. In short, artificial intelligence can be used to give a better picture of stock market operators and can be used as an alternative or additional to predict financial variables.


Keywords


Stock Market volatility, prediction, Neural network

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References


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DOI: https://doi.org/10.31529/sjms.v4i2.285

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