Feature selection for neural network based stock prediction

Abstract

We propose a new methodology of feature selection for stock movement prediction. The methodology is based upon finding those features which minimize the correlation relation function. We first produce all the combination of feature and evaluate each of them by using our evaluate function. We search through the generated set with hill climbing approach. The self-organizing map based stock prediction model is utilized as the prediction method. We conduct the experiment on data sets of the Microsoft Corporation, General Electric Co. and Ford Motor Co. The results show that our feature selection method can improve the efficiency of the neural network based stock prediction. © 2010 Springer-Verlag.