| Author: | Lui, Hing-nin. |
| Title: | Forecasting near-future Hang Sang [i.e. Seng] Index with data mining techniques |
| Other Title: | Forecasting near-future Hang Seng Index with data mining techniques |
| Degree: | M.Sc. |
| Year: | 2002 |
| Subject: | Hong Kong Polytechnic University -- Dissertations Stock price indexes -- China -- Hong Kong -- Forecasting Stock index futures -- China -- Hong Kong -- Forecasting Data mining |
| Department: | Department of Computing |
| Pages: | i, 91, [20] leaves : col. ill. ; 30 cm. |
| Language: | English |
| Abstract: | This paper is to investigate ways to use data mining methods and neural networks to predict the movement of an index for the near future. Here, the near future is defined as the future in the fifteen minutes. Daily movement of stock prices and indexes are predicted as a complicated real-world problem, factors such as the nominal value movements of related stocks and indexes are taking into account. A comparison on the results derived from data mining and neural networks are plotted among all the selected stocks and indexes. The data set for this research is collected through a sponsored company with a direct data-feed line from the Hong Kong Stock Exchange. Detailed data collection is down to a minute. The use of data mining and neural networks is shown to be effective experimentally: the prediction accuracies for both approaches are as good as 97% and 99% respectively for most of the indexes and selected stocks and there is 99% accuracy by using Neural Networks for the prediction of HSI for the next 15 minutes. Finally, the system is proved to be accurate for the time interval up to 45 minutes which may imply the present movement of index having an influence for 45 minutes long. |
| Rights: | All rights reserved |
| Access: | restricted access |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| b17523539.pdf | For All Users (off-campus access for PolyU Staff & Students only) | 9.02 MB | Adobe PDF | View/Open |
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