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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