O'Reilly logo

The Best Thinking in Business Analytics from the Decision Sciences Institute by Merrill Warkentin, Decision Sciences Institute

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

6. Contrasting Approaches for Forecasting the S&P 500

—Mary Malliaris, Quinlan School of Business, Loyola University

—A.G. Malliaris, Quinlan School of Business, Loyola University

Abstract

This paper develops and compares several methods of forecasting the S&P 500 Index, using only data based on the closing value and trained over a six-decade dataset. The methodologies include a C5.0 decision tree, a neural network, and a group of forecasts based on training set patterns of directional change from one to seven days in length. Methods are compared by using the number of correct forecast directions and by calculating the amount of gain/loss. We found that the neural network yielded the most gain, but the six-day string pattern did the best at ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required