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From: bkv2673@vaxb.isc.rit.edu
Subject: Re: NNs and Financial Forcasting
Message-ID: <1994Dec8.010009.14356@ultb.isc.rit.edu>
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Date: Thu, 8 Dec 1994 01:00:09 GMT
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In article <3bnm4j$b53@nova.umd.edu>, collins@nova.umd.edu (Jim C) writes:

>I have been trying to set up a Neural Net to forcast changes i the OEX
>(S&P 100 stock index) but so far all I've done is confuse the poor thing :).
>I don't think I'm using the right inputs, but am not sure what the right 
>inputs would be. Anyone want to collaborate on this?
>I've also written and am using a GA system for the same thing, with very nice
>results. I have a much better understanding of GAs than I do of NNs.
>Also, I understand that some people are using GAs to help set up NNs. Can
>anyone explain to me how this is done?
>Jim C.
>

Jim,

Questions/pointers

	* What timeframe are u trying to predict in?
	  If it is on a daily basis, I'd suggest you use a floating window
	  for training the net....and use the floating window base (say
	  a moving average) as a base for normalization...

	* It would also help a lot if you restricted the freedom of movement
	  of the index...I've had success with rounding off points to 
	  quarters...i.e. four degrees of freedom....this will not give u
	  exact numerical accuracy but it most definitely will help the
	  net a great deal

	* try using the following input data streams if u r trying to 
	  project spx/oex

		- yield curve dynamics...u could take diff in yields along
	    	  the entire yield curve and normalize the whole thing
		  wrt to their maturity periods....on a simplistic try and
		  fit three lines that best define the slope of the curve
		- data from spx, ny composites, a/d line which is biased wit
		  volume....etc...

	good luck...

	- aL
      	

	
