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Volatility Degree Forecasting of Stock Market by Stochastic Time Strength Neural Network

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  • Haiyan Mo
  • Jun Wang

Abstract

In view of the applications of artificial neural networks in economic and financial forecasting, a stochastic time strength function is introduced in the backpropagation neural network model to predict the fluctuations of stock price changes. In this model, stochastic time strength function gives a weight for each historical datum and makes the model have the effect of random movement, and then we investigate and forecast the behavior of volatility degrees of returns for the Chinese stock market indexes and some global market indexes. The empirical research is performed in testing the prediction effect of SSE, SZSE, HSI, DJIA, IXIC, and S&P 500 with different selected volatility degrees in the established model.

Suggested Citation

  • Haiyan Mo & Jun Wang, 2013. "Volatility Degree Forecasting of Stock Market by Stochastic Time Strength Neural Network," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-11, October.
    • Handle: RePEc:hin:jnlmpe:436795
    DOI: 10.1155/2013/436795
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