Prediction of the next stok price using neural network: Extraction the feature to predict next stock price by filtering

Technical Report of IEICE Japan, Vol. NLP2002-80, pp. 13-16, 2002 (in Japanese)

Prediction of the next stok price using neural network: Extraction the feature to predict next stock price by filtering

H. Takaho, T. Arai, T. Otake and M. Tanaka

Abstract: Adding the dimension of time to databases produces time series databases (TSDB) and introduces new aspects and difficulties for data mining, knowledge discovery and prediction of sample points. In this paper, we introduce the method for the prediction of the next sample point with multi-layer neural network in TSDB. Predicting the next sample point in TSDB includes cleaning and filtering the time series data, identifying the most important predicting attributes, and extracting a set of association rules that can be used to predict the time series behavior in the future. Our method is based on signal processing techniques, and TSDB for the closing price of a stock are used as an example.

Keywords: Time Series Database, Neural Network, Prediction, Feature

[PDF (231 kB)]