Variable Selection for Artificial Neural Networks with Applications for Stock Price Prediction |
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| Authors: | Gang-Hoo Kim Sung-Ho Kim |
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| Affiliation: | Dept. of Mathematical Sciences, Korea Advanced Institute of Science and Technology, Daejeon, Republic of Korea |
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| Abstract: | We propose a new Artificial neural network (ANN) method where we select a set of variables as input variables to the ANN. The selection is made so that the input variables may be informative for a target variable as much as possible. The proposed method compared favorably with the existing ANN methods when their performances were evaluated based on 488 stocks in S&P500 in terms of prediction accuracy. |
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