Publication Type : Conference Paper
Publisher : EPSCICON 2012
Source : 2012 International Conference on Power, Signals, Controls and Computation, EPSCICON 2012, Thrissur, Kerala (2012)
Url : http://www.scopus.com/inward/record.url?eid=2-s2.0-84860704852&partnerID=40&md5=b795614ecbe11428b7dfb2566cc097ea
ISBN : 9781467304467
Accession Number : 12654038
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
Campus : Coimbatore
School : School of Engineering
Department : Electronics and Communication
Verified : Yes
Year : 2012
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.
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.