Publication Type:

Conference Paper

Source:

2012 International Conference on Power, Signals, Controls and Computation, EPSCICON 2012, Thrissur, Kerala (2012)

ISBN:

9781467304467

Accession Number:

12654038

URL:

http://www.scopus.com/inward/record.url?eid=2-s2.0-84860704852&partnerID=40&md5=b795614ecbe11428b7dfb2566cc097ea

Keywords:

Accurate prediction, Adaptive, Delay control systems, Efficient market hypothesis, Emerging markets, Empirical evaluations, Feed forward, Financial data processing, Financial time series, Forecasting, Linear element, Network architecture, Neural networks, Performance comparison, Performance measure, Sensex, Sensitive index, Stock exchange, Time delay neural networks, Weak form, Wealth creation

Abstract:

Accurate prediction of financial time series (which can be considered as nonlinear systems) especially in relation to emerging markets like India assumes prominence in that, these markets offer significantly higher opportunities for wealth creation for the investor. This paper compares the effectiveness of different types of Adaptive network architectures in one-step ahead prediction of the daily returns of Bombay Stock Exchange Sensitive Index (SENSEX). The performance of each network is evaluated using 17 different performance measures to find the best network architecture. Also, an empirical evaluation of the weak form of Efficient Market Hypothesis (EMH) for the data in reference is carried out here. © 2012 IEEE.

Notes:

cited By (since 1996)0; Conference of org.apache.xalan.xsltc.dom.DOMAdapter@1325448f ; Conference Date: org.apache.xalan.xsltc.dom.DOMAdapter@73b8121a Through org.apache.xalan.xsltc.dom.DOMAdapter@39aca450; Conference Code:89543

Cite this Research Publication

Dr. Binoy B. Nair, Patturajan, M., Mohandas, V. P., and Sreenivasan, R. R., “Predicting the BSE sensex: Performance comparison of adaptive linear element, feed forward and time delay neural networks”, in 2012 International Conference on Power, Signals, Controls and Computation, EPSCICON 2012, Thrissur, Kerala, 2012.

207
PROGRAMS
OFFERED
5
AMRITA
CAMPUSES
15
CONSTITUENT
SCHOOLS
A
GRADE BY
NAAC, MHRD
9th
RANK(INDIA):
NIRF 2017
150+
INTERNATIONAL
PARTNERS