Determining the Time Period and Amount of Training Data for Stock Exchange of Thailand Index Prediction

摘要：

This paper analyzed the time period and amount of training data that were used in applying the prediction function to forecast the Stock Exchange of Thailand index (SET Index).The training data were grouped into one year and two years over the period of 2003-2008,and the testing data were collected from January 2005 to March 2009.This paper compared the results of using different time periods training data in order to find the best training data set that will most accurately predict the SET index.The results show that there is no significant difference between using one year and two years training data with MAPE lower than 1％.

关键词： component Stock market forecasting Stock Exchange of Thailand,Evolution Strategies,Prediction function,Data analysis,Financial time series forecasting

作者: Phaisarn Sutheebanjard Wichian Premchaiswadi

作者单位: Graduate School of Information Technology Siam University Bangkok.Thailand Graduate School of Information Technology Siam University Bangkok,Thailand

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 359-363

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）