Archive for January, 2010

As I have seriously concerned that maybe the NN implementation is buggy. One way to resolve this concern is to test with an artificial data and insert artificial patterns. I decided that a periodic 5 days SPX increase on increasing volume can be repeated as a pattern. It looks like this: My first version was […]

This is some evidence why 200 neurons maybe too many. Random Google searches: ” Estimation of monthly average daily global solar irradiation using … The number of neurons in the hidden layer varied between 8 and 18. ” ” Predicting saturates of sour vacuum gas oil using artificial neural networks and genetic algorithms The number […]

First charts


The implementation was done in Matlab. The Neural Network inputs are the previous 5 days volume and close price of the SPX. It used 200 neurons an 1 layer. The training is happened from 2000-01-01. To illustrate why NN prediction is not so easy, I insert here a couple of charts: These charts represents the […]

This blog is on proving that Neural Networks can applied to financial time series forecasting. This is not so obvious as it may appear to the casual observer. The decision to make a blog about my quest serves two purposes.Once, I am a long term advocate of sharing knowledge. Others may learn from my mistakes. […]