Prediction of Closing Prices on the Stock Exchange with the Use of Artificial Neural Networks

摘要

Article describes, the use of Artificial Neural Networks (ANN) for predicting values of Stock Exchange shares. Rules of Stock Exchange functioning, principles of technical analysis and the most important stock market indices are described, which support investors, who plan to make transactions. ANN of Multi-Layer Perceptron (MLP) type, and a moving window method are applied. A hybrid method is also proposed, in which time series of CLOSE values as a function of the following trading days are used to stock market indices calculation, such as moving averages and oscillators, which are applied to ANN inputs. Research was conducted for 80 companies, selected from the 1218 companies functioning on Stock Exchange. The achieved maximum error in one day ahead CLOSE value prediction is 1,31%.