NARX - Next Day Prediction of Stock Prices
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Hi,
I am using a Time Dalay NARX Neural Network to predict the next day prices of stocks from a particular industry sector (marine and offshore, Singapore Exchange). I am using the attached dataset along with the following code for the prediction attempt. The prediction results are quite bad.
I had read that autocorelation and cross-correlation is required to get the number of delays, but I have been unsuccessful in implementing it. Could you modify the code below to implement auto-correlation and cross-correlation for getting the appropriate delays? It would be great if you have any suggestions to improve prediction accuracy. (Using additional data, different training algorithm, using additional algorithms etc.)
data=csvread('keppelcorp.csv',1,1);
inputSeries = tonndata(data(2:end,:),false,false);
targetSeries = tonndata(data(1,:),false,false);
input = data(1:end,2:end);
target = data(1:end,1);
N=int32(0.7*size(input,1)); % how much data to use for training
inputSeries = tonndata(input(1:N,:),false,false);
targetSeries = tonndata(target(1:N,:),false,false);
inputSeriesVal = tonndata(input((N+1):end,:),false,false);
targetSeriesVal = tonndata(target((N+1):end,:),false,false);
inputDelays = 1:10;
feedbackDelays = 1:10;
hiddenLayerSize = 20;
net = narxnet(inputDelays,feedbackDelays,hiddenLayerSize);
[inputs,inputStates,layerStates,targets] = preparets(net,inputSeries,{},targetSeries);
net.divideFcn = 'divideblock'; % Divide data in blocks
net.divideMode = 'time'; % Divide up every value
net.trainFcn = 'trainlm'; % Levenberg-Marquardt
% Train the Network
[net,tr] = train(net,inputs,targets,inputStates,layerStates);
plotperform(tr)
Y = net(inputs,inputStates,layerStates);
% Prediction Attempt
N=size(inputSeriesVal,2);
delay=length(inputDelays);
inputSeriesPred = [inputSeries(end-delay+1:end),inputSeriesVal];
targetSeriesPred = [targetSeries(end-delay+1:end), con2seq(nan(1,N))];
netc = closeloop(net);
[Xs,Xi,Ai,Ts] = preparets(netc,inputSeriesPred,{},targetSeriesPred);
yPred = netc(Xs,Xi,Ai);
perf = perform(net,yPred,targetSeriesVal);
perf_mae = mae(net,targetSeriesVal, yPred);
perf_mse = mse(net,targetSeriesVal, yPred);
close all;
targetSeriesVal = targetSeriesVal(2:end);
targetSeriesVal(end+1) = targetSeriesVal(end);
figure;
plot([cell2mat(targetSeries),nan(1,N);
nan(1,length(targetSeries)),cell2mat(yPred);
nan(1,length(targetSeries)),cell2mat(targetSeriesVal)]')
legend('Original Targets','Network Predictions','Expected Outputs')
figure;
plot([cell2mat(yPred);cell2mat(targetSeriesVal)]')
legend('Network Predictions','Expected Outputs')
disp('Performance is')
perf
disp('Mean absolute error performance is')
perf_mae
disp('Normmalized MSE Performance is')
perf_mse
disp('Next day closing price was forecasted to')
yPred(end)
csvwrite('Real 1st column and 2nd column Predicted Prices.csv',[targetSeriesVal',yPred']);
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Greg Heath
2015 年 3 月 30 日
> I am using a Time Dalay NARX Neural Network to predict the next day prices of stocks from a
> particular industry sector (marine and offshore, Singapore Exchange). I am using the attached
> dataset along with the% following code for the prediction attempt. The prediction results are
> quite bad. I had read that autocorelation and cross-correlation is required to get the number
> of delays, but I have been unsuccessful in implementing it. Could you modify the code below
> to implement auto-correlation and cross-correlation for getting the appropriate delays?
I'm surprised to hear that. If you just search in the NEWSGROUP and ANSWERS using
greg NNCORR
NEWSGROUP 11 hits
ANSWERS 53 hits
> It would be great if you have any suggestions to improve prediction accuracy. (Using
> additional data, different training algorithm, using additional algorithms etc.)
My answer is simple:
Take a look at some of my posts.
Hope this helps.
Thank you for formally accepting my answer
Greg
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