Using Artificial Neural Networks To Forecast Financial ...

Using Artificial Neural Networks To

Forecast Financial Time Series

Rune Aamodt

Master of Science in Computer Science

Submission date: June 2010

Supervisor:

Arvid Holme, IDI

Norwegian University of Science and Technology

Department of Computer and Information Science

Problem Description

The student will investigate how artificial neural networks can be trained to forecast developments

of financial time series.

He will first need to establish whether any similar research has been conducted previously, and if

so to review the various approaches to the problem suggested therein.

Following this prestudy, the student should decide on an approach and make the necessary

implementations to train and test the neural networks. The attainable forecasting performance

should be evaluated emprically.

Simulations will be done using historical intraday trade data which has been procured for a

selection of stocks from the Oslo Stock Exchange.

Assignment given: 15. January 2010

Supervisor: Arvid Holme, IDI

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