A dynamical system and neural network perspective of Karachi stock exchange

Syed Nasir Danial; Syed Raheel Noor; Bilal A. Usmani; S. Jamal H. Zaidi

doi:10.1007/978-3-540-89853-5_11

A dynamical system and neural network perspective of Karachi stock exchange

Syed Nasir Danial, Syed Raheel Noor, Bilal A. Usmani, S. Jamal H. Zaidi

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

This study discusses the evolution of KSE-100 index returns as a dynamical system. We present application of nonlinear time-series analysis. Our results show that estimation of correlation dimension for the case of KSE-100 index returns is not possible. We further go into nonlinear analysis and construct a model of the series based on feedforward neural network with backpropagation training. We construct many neural networks and the one with Levenberg-Marquardt backpropagation is found to give slightly better results compared to ARMA/ARIMA models. Neural networks are found to be applicable in those cases when nonlinear time-series analysis is at failure.

Original language	English
Title of host publication	Wireless Networks, Information Processing and Systems - International Multi Topic Conference, IMTIC 2008, Revised Selected Papers
Publisher	Springer Verlag
Pages	88-99
Number of pages	12
ISBN (Print)	3540898522, 9783540898528
DOIs	https://doi.org/10.1007/978-3-540-89853-5_11
Publication status	Published - 2008
Externally published	Yes

Publication series

Name	Communications in Computer and Information Science
Volume	20 CCIS
ISSN (Print)	1865-0929

Keywords

KSE-100 index returns
Neural network
correlation dimension
non-linear time series analysis

Access to Document

10.1007/978-3-540-89853-5_11

Cite this

Danial, S. N., Noor, S. R., Usmani, B. A., & Zaidi, S. J. H. (2008). A dynamical system and neural network perspective of Karachi stock exchange. In Wireless Networks, Information Processing and Systems - International Multi Topic Conference, IMTIC 2008, Revised Selected Papers (pp. 88-99). (Communications in Computer and Information Science; Vol. 20 CCIS). Springer Verlag. https://doi.org/10.1007/978-3-540-89853-5_11

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title = "A dynamical system and neural network perspective of Karachi stock exchange",

abstract = "This study discusses the evolution of KSE-100 index returns as a dynamical system. We present application of nonlinear time-series analysis. Our results show that estimation of correlation dimension for the case of KSE-100 index returns is not possible. We further go into nonlinear analysis and construct a model of the series based on feedforward neural network with backpropagation training. We construct many neural networks and the one with Levenberg-Marquardt backpropagation is found to give slightly better results compared to ARMA/ARIMA models. Neural networks are found to be applicable in those cases when nonlinear time-series analysis is at failure.",

keywords = "KSE-100 index returns, Neural network, correlation dimension, non-linear time series analysis",

author = "Danial, {Syed Nasir} and Noor, {Syed Raheel} and Usmani, {Bilal A.} and Zaidi, {S. Jamal H.}",

year = "2008",

doi = "10.1007/978-3-540-89853-5_11",

language = "English",

isbn = "3540898522",

series = "Communications in Computer and Information Science",

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Danial, SN, Noor, SR, Usmani, BA & Zaidi, SJH 2008, A dynamical system and neural network perspective of Karachi stock exchange. in Wireless Networks, Information Processing and Systems - International Multi Topic Conference, IMTIC 2008, Revised Selected Papers. Communications in Computer and Information Science, vol. 20 CCIS, Springer Verlag, pp. 88-99. https://doi.org/10.1007/978-3-540-89853-5_11

A dynamical system and neural network perspective of Karachi stock exchange. / Danial, Syed Nasir; Noor, Syed Raheel; Usmani, Bilal A. et al.
Wireless Networks, Information Processing and Systems - International Multi Topic Conference, IMTIC 2008, Revised Selected Papers. Springer Verlag, 2008. p. 88-99 (Communications in Computer and Information Science; Vol. 20 CCIS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - This study discusses the evolution of KSE-100 index returns as a dynamical system. We present application of nonlinear time-series analysis. Our results show that estimation of correlation dimension for the case of KSE-100 index returns is not possible. We further go into nonlinear analysis and construct a model of the series based on feedforward neural network with backpropagation training. We construct many neural networks and the one with Levenberg-Marquardt backpropagation is found to give slightly better results compared to ARMA/ARIMA models. Neural networks are found to be applicable in those cases when nonlinear time-series analysis is at failure.

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Danial SN, Noor SR, Usmani BA, Zaidi SJH. A dynamical system and neural network perspective of Karachi stock exchange. In Wireless Networks, Information Processing and Systems - International Multi Topic Conference, IMTIC 2008, Revised Selected Papers. Springer Verlag. 2008. p. 88-99. (Communications in Computer and Information Science). doi: 10.1007/978-3-540-89853-5_11

A dynamical system and neural network perspective of Karachi stock exchange

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