Journal
EXPERT SYSTEMS WITH APPLICATIONS
Volume 38, Issue 9, Pages 11489-11500Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.eswa.2011.03.023
Keywords
Neural networks; Generalized feedforward; Technical analysis; Relative strength index; Ibex 35
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Funding
- Spanish Ministry of Industry, Tourism, and Commerce under the EUREKA [TSI-020400-2009-148]
- SONAR2 [TSI-020100-2008-665]
- INNOVA 3.0 [TSI-020100-2009-612]
- GO2 [TSI-020400-2009-127]
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Stock price predictions have been a field of study from several points of view including, among others, artificial intelligence and expert systems. For short-term predictions, the technical indicator relative strength indicator (RSI) has been published in many papers and used worldwide. CAST is presented in this paper. CAST can be seen as a set of solutions for calculating the RSI using artificial intelligence techniques. The improvement is based on the use of feedforward neural networks to calculate the RSI in a more accurate way, which we call the iRSI. This new tool will be used in two scenarios. In the first, it will predict a market - in our case, the Spanish IBEX 35 stock market. In the second, it will predict single-company values pertaining to the IBEX 35. The results are very encouraging and reveal that the CAST can predict the given market as a whole along with individual stock pertaining to the IBEX 35 index. (C) 2011 Elsevier Ltd. All rights reserved.
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