Table of contents

Declaration .........................................................................................................................iii
Cirtificate ......................................................................................................................... iv
Thesis Approval Form ........................................................................................................... x
Abstract ......................................................................................................................... xi
Acknowledgement .............................................................................................................. xiv
Table of contents ................................................................................................................. xvi
List of Abbreviations .......................................................................................................... xix
List of Symbol .................................................................................................................... xxi
List of Figures .................................................................................................................... xxii
List of Table .....................................................................................................................xxiii
1. Introduction ................................................................................................ 1
1.1 Stock Market Overview................................................................................................ 1
1.1.1 Random Walk Hypothesis (RWH) ................................................................... 2
1.1.1 Efficient Market Hypothesis (EMH) ................................................................ 3
1.1.2 Fundamental Analysis ...................................................................................... 4
1.1.3 Technical Analysis ........................................................................................... 4
1.2 Scope of the Research Work ........................................................................................ 9
1.3 Objectives of the Research Work ................................................................................. 9
1.4 Original Contribution by the Thesis ........................................................................... 10
1.5 Thesis Organization .................................................................................................... 10
2. Artificial Neural Network ....................................................................... 12
2.1 Biological Neurons ..................................................................................................... 12
2.2 Artificial Neurons ....................................................................................................... 13
2.3 Activation Function .................................................................................................... 14
2.4 Artificial Neural Network Architecture ..................................................................... 17
2.4.1 Feed Forward Neural Network ....................................................................... 18
2.4.2 Multi-Layer Perceptron (MLP) Neural Network............................................ 18
2.4.3 Feedback Loop ............................................................................................... 19
2.4.4 Recurrent Neural Network.............................................................................. 20
2.4.5 Auto-Associative Network ............................................................................. 20

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2.5 Learning of Artificial Neural Network ....................................................................... 21
2.5.1 Supervised Learning ....................................................................................... 22
2.5.2 Unsupervised Learning ................................................................................... 22
2.5.3 Reinforcement Learning ................................................................................. 22
3. Literature Review .................................................................................... 25
3.1 Work Done ................................................................................................................. 25
3.1.1 Soft Computing Contribution in Financial Market......................................... 25
3.1.2 Work Done using Artificial Neural Network ................................................. 26
3.1.3 Forecasting Work Done on Diverse Stock Market Index .............................. 28
3.2 Methodology .............................................................................................................. 33
3.3 Key Observations ....................................................................................................... 39
3.4 Limitations of the Existing Solution .......................................................................... 40
4. Research Methodology ............................................................................ 42
4.1 Generalized Stock Direction Prediction Model (GSDPM) Design ............................ 42
4.1.1 Stock Database Selection................................................................................ 43
4.1.2 Raw Input Data Sample .................................................................................. 43
4.1.3 Feature Extraction........................................................................................... 44
4.1.4 Data Sampling ................................................................................................ 45
4.1.5 Processing Framework ................................................................................... 45
4.1.6 Output ............................................................................................................. 45
5. Generalized Stock Direction Prediction Model (GSDPM)
Implementation ........................................................................................ 46
5.1 Stock Database Selection ........................................................................................... 46
5.2 Raw Input Data Sample .............................................................................................. 50
5.3 Feature Extraction ...................................................................................................... 51
5.4 Data Sampling ............................................................................................................ 52
5.5 Processing Framework ............................................................................................... 61
5.5.1 Feed Forward Backpropagation Neural Network (FFBPNN) ........................ 61
5.5.2 Elman Backpropagation Recurrent Neural Network (EBPRNN) .................. 63
5.5.3 Cascade-Forward Backpropagation Neural Network (CFBPNN).................. 65
5.6 Output ........................................................................................................................ 69
6. Experiment Results and Discussions ...................................................... 70
6.1 Calculation of the Percentage Rate of Return (ROR) ................................................ 70

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6.2 Calculation of the Success Prediction Ratio (SPR) .................................................... 71
6.3 The Output Performance of the Model....................................................................... 72
6.3.1 Experimental Result of FFBPNN Model........................................................ 72
6.3.2 Experimental Result of EBPRNN Model ....................................................... 74
6.3.3 Experimental Result of CFBPNN Model ....................................................... 76
6.3.4 The Prediction Performance of the Model Against Respective Index ........... 77
6.4 Model Validation ........................................................................................................ 80
6.4.1 Validation of the FFBPNN Model.................................................................. 80
6.4.2 Validation of the EBPRNN Model ................................................................. 82
6.4.3 Validation of the CFBPNN Model ................................................................. 84
6.4.4 The Prediction Performance using Randomly Generated Buy/Sell Trading
Signal on Testing Dataset ............................................................................... 86
7. Conclusion and Future Work ................................................................. 89
7.1 Conclusion .................................................................................................................. 89
7.2 Future work ................................................................................................................ 90
List of References ................................................................................................................ 91
List of Publication ................................................................................................................ 98

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