TY - JOUR
T1 - Design and implementation of NN5 for Hong Kong stock price forecasting
AU - Tsang, Philip M.
AU - Kwok, Paul
AU - Choy, S. O.
AU - Kwan, Reggie
AU - Ng, S. C.
AU - Mak, Jacky
AU - Tsang, Jonathan
AU - Koong, Kai
AU - Wong, Tak Lam
PY - 2007/6
Y1 - 2007/6
N2 - A number of published techniques have emerged in the trading community for stock prediction tasks. Among them is neural network (NN). In this paper, the theoretical background of NNs and the backpropagation algorithm is reviewed. Subsequently, an attempt to build a stock buying/selling alert system using a backpropagation NN, NN5, is presented. The system is tested with data from one Hong Kong stock, The Hong Kong and Shanghai Banking Corporation (HSBC) Holdings. The system is shown to achieve an overall hit rate of over 70%. A number of trading strategies are discussed. A best strategy for trading non-volatile stock like HSBC is recommended.
AB - A number of published techniques have emerged in the trading community for stock prediction tasks. Among them is neural network (NN). In this paper, the theoretical background of NNs and the backpropagation algorithm is reviewed. Subsequently, an attempt to build a stock buying/selling alert system using a backpropagation NN, NN5, is presented. The system is tested with data from one Hong Kong stock, The Hong Kong and Shanghai Banking Corporation (HSBC) Holdings. The system is shown to achieve an overall hit rate of over 70%. A number of trading strategies are discussed. A best strategy for trading non-volatile stock like HSBC is recommended.
KW - AI engineering application
KW - NN5
KW - SVM
UR - http://www.scopus.com/inward/record.url?scp=33947153808&partnerID=8YFLogxK
U2 - 10.1016/j.engappai.2006.10.002
DO - 10.1016/j.engappai.2006.10.002
M3 - Article
AN - SCOPUS:33947153808
SN - 0952-1976
VL - 20
SP - 453
EP - 461
JO - Engineering Applications of Artificial Intelligence
JF - Engineering Applications of Artificial Intelligence
IS - 4
ER -