Predicting Korea Composite Stock Price Index Movement Using Artificial Neural Network

인공신경망을 이용한 한국 종합주가지수의 방향성 예측

This study proposes a artificial neural network method to predict the time to buy and sell the stocks listed on the Korea Composite Stock Price Index(KOSPI). Four types (NN1, NN2, NN3, NN4) of independent networks were developed to predict KOSPIs up/down direction after four weeks. These networks have a difference only in the length of learning period. NN5 - arithmetic average of four networks outputs - shows an higher accuracy than other network types and Multiple Linear Regression (MLR), and buying and selling simulation using systems outputs produces higher reture than buy-and-hold strategy.