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Neural Network Predictions of Stock Price Fluctuations

The traditional view that expected nominal rates of return on assets should move one-for- one with expected inflation is first attributed to Irving Fisher (1930). Financial economists have also argued that, because stocks are claims on physical, or “real”, assets, stock returns ought to co-vary positively with actual inflation, thereby making them a possible hedge against unexpected inflation. During the mid to late 1970s, however, investors found that little could be further from the truth; at least in the short and intermediate run, stocks prices were apparently quite negatively affected by inflation, expected or not. The earliest studies mainly document the negative covariation between actual. | Neural Network Predictions of Stock Price Fluctuations By Wojciech Gryc wojciech@gmail.com Table of Contents Abstract.3 Introduction.3 Part 1 The Stock Market Stock Market Psychology.5 Technical Analysis.6 Variable Moving Average VMA .9 Trading Range Breakout TRB .9 Bollinger Bands.10 Money Flow Index MFI .10 Temporal Data.11 Prices.11 Fundamental Analysis of Stocks.12 Consumer Price Index CPI .13 Consumer Sentiment Index.13 Consumer Confidence Index.14 New Orders Diffusion Index.14 Leading Indicators Index.14 Interest Rate of the 30-Year Conventional Mortgage.15 Federal Funds Rate.15 Price-Earnings P E Ratio.16 Target Stocks.16 Part 2 Neural Networks Neurons and Neural Networks.18 Input Connections.19 Summing and Activation Functions.19 Output Connections.20 Feedforward Networks.21 Backpropagati on.22 Drawbacks.23 Backpropagation Applied.24 Threshold Analysis.25 Recurrent Networks.26 Elman Networks.27 Part 3 Results Statistical Analysis.28 Results.29 Feedforward Networks and Types of Stocks.30 Other Network Architectures for 1-Day Predictions.31 Neural Network Predictions of Stock Price Fluctuations 1 42 Prices.31 Longer Term Predictions and Fundamental Analysis.32 Conclusion and Future Work.33 Appendix A Overview of Trials.34 Appendix B Overview of Custom Software.37 Appendix C Effects of Random Weights on Network Results.39 Works Cited.41 Neural Network Predictions of Stock Price Fluctuations 2 .