Prediction of Closing Stock Prices Using the Artificial Neural Network in the Market for Alternative Investment (MAI) of the Stock Exchange of Thailand (SET)

Abstract

AbstractForecasting stock prices has been a challenging problem due to the involvement of many variables and indicators. This study investigates daily closing stock prices in the Market for Alternative Investment (MAI) of the Stock Exchange of Thailand (SET). The Artificial Neural Network (ANN) is applied to predict daily closing stock prices of the most active stocks in MAI. This paper aims to investigate whether day traders are capable or not of capturing profit by using ANN in MAI and comparing day trading strategies with the buy and hold strategy. The result shows that day traders have the potential to generate profit when they trade the most active stocks in MAI and the profit from day trading strategies is statistically significantly higher than the profit from the buy and hold strategy.KeywordsStock marketArtificial Neural Network (ANN)Market for Alternative Investment (MAI)Stock Exchange of Thailand (SET)