NEURAL NETWORK-BASED APPROACH IN FORECASTING FINANCIAL DATA

Considering the fact that markets are generally influenced by different external factors, the stock market prediction is one of the most difficult tasks of time series analysis. The research reported in this paper aims to investigate the potential of artificial neural networks (ANN) in solving the forecast task in the most general case, when the time series are non-stationary. We used a feed-forward neural architecture: the nonlinear autoregressive network with exogenous inputs. The network training function used to update the weight and bias parameters corresponds to gradient descent with adaptive learning rate variant of the backpropagation algorithm. The results obtained using this technique were compared with the ones resulted from some ARIMA models. We used the mean squared error (MSE) measure to evaluate the performances of these two models. The comparative analysis leads to the conclusion that the proposed model can be successfully applied to forecast the financial data.