Determining the time period and amount of training data for Stock Exchange of Thailand index prediction

Author

Sutheebanjard, Phaisarn ; Premchaiswadi, Wichian

Author_Institution

Grad. Sch. of Inf. Technol., Siam Univ., Bangkok, Thailand

fYear

2010

fDate

17-19 Sept. 2010

Firstpage

359

Lastpage

363

Abstract

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 And 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%.

Keywords

data analysis; economic forecasting; economic indicators; stock markets; SET index; Thailand index prediction; prediction function; stock exchange; time period; training data; Evolution (biology); Exchange rates; Forecasting; Indexes; Stock markets; Training data; Data analysis; Evolution Strategies; Financial time series forecasting; Prediction function; Stock Exchange of Thailand; Stock market forecasting;

fLanguage

English

Publisher

ieee

Conference_Titel

Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on

Conference_Location

Chongqing

Print_ISBN

978-1-4244-6927-7

Type

conf

DOI

10.1109/ICIFE.2010.5609378

Filename

5609378