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The accuracy of the LSTM model for predicting the S&P 500 index and the difference between prediction and backtesting
KTH, School of Electrical Engineering and Computer Science (EECS).
KTH, School of Electrical Engineering and Computer Science (EECS).
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Med hur stor noggrannhet kan man med en LSTM-model förutsäga S&P 500 index och skillnaden mellan förutsägelse och backtesting (Swedish)
Abstract [en]

In this paper the question of the accuracy of the LSTM algorithm for predicting stock prices is being researched. The LSTM algorithm is a form of deep learning algorithm. The algorithm takes in a set of data as inputs and finds a pattern to dissolve an output. Our results point to that using backtesting as the sole method to verify the accuracy of a model can fallible. For the future, researchers should take a fresh approach by using real-time testing. We completed this by letting the algorithm make predictions on future data. For the accuracy of the model we reached the conclusion that having more parameters improves accuracy.

Abstract [sv]

I detta arbete forskas det kring hur bra prognoser man kan ge genom att använda sig av LSTM algoritmen för att förutspå aktiekurser. LSTM-algoritmen är en form av djupinlärnigsmetod, där man ger algoritmen en del typer av data som input och hittar ett mönster i datan vilket ger ett resultat. I vårt resultat kom vi fram till man ej ska förlita sig på backtesting för att verifiera sina resultat utan även använda modellen till att göra prognoser på framtida data. Vi kan även tillägga att tillförlitlighet ökar om man använder sig av flera faktorer i modellen.

Place, publisher, year, edition, pages
2018.
Series
TRITA-EECS-EX ; 2018:235
National Category
Computer Sciences
Identifiers
URN: urn:nbn:se:kth:diva-229415OAI: oai:DiVA.org:kth-229415DiVA, id: diva2:1213449
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Examiners
Available from: 2018-08-23 Created: 2018-06-04 Last updated: 2018-08-23Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NO
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  • sv-SE
  • Other locale
More languages
Output format
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