Forecasting Stock Price Index Using Artificial Neural Networks in the Indonesian Stock Exchange

TIPHIMMALA, SOUKKHY (2014) Forecasting Stock Price Index Using Artificial Neural Networks in the Indonesian Stock Exchange. S2 thesis, UAJY.

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Abstract

Stock price index is the initial significant factor influencing on investors' financial decision making. That's why predicting the exact movements of stock price index is considerably regarded. This study aims at evaluating the effectiveness of using technical indicators, such as A/D Oscillator, Moving Average, RSI, CCI, MACD, etc. in predicting movements of Indonesian Stock Exchange Price Index (IDX). An artificial neural network is employed for stock price index forecasting. The existing data are achieved from Yahoo.Finance. To capture the relationship between the technical indicators and the levels of the index in the market for the period under investigation, a back propagation neural network is used. The statistical and financial performance of this technique is evaluated and empirical results revealed that artificial neural networks are fairly good tools for financial market predicting.

Item Type:	Thesis (S2)
Uncontrolled Keywords:	Forecasting, prediction, stock price index, technical indicators, artificial neural networks (ANN)
Subjects:	Magister Manajemen > Manajemen Keuangan
Divisions:	Pasca Sarjana > Magister Manajemen
Depositing User:	Editor UAJY
Date Deposited:	23 Jan 2015 09:23
Last Modified:	23 Jan 2015 09:23
URI:	http://e-journal.uajy.ac.id/id/eprint/6586

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