Forecasting KOSPI using Elman network

Abstract

Due to the non-stationary nature of stock market index, making a prediction on its course is a truly challenging task. Research has been actively conducted to predict stock market indices by means of machine learning in recent years. In our research, we made a prediction of KOSPI for one week based on Elman Network. Based on the predictive result, we ran a simulation from which we obtained 3.16% yield over a period of one year. In this paper, we describe how we exploited Elman network to make predictions on stock markets, then we propose a method for using the predictive values for investment.