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International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making

IUKM 2020: Integrated Uncertainty in Knowledge Modelling and Decision Making pp 335–345Cite as

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

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Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 12482))

Abstract

Forecasting 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.

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Notes

  1. 1.

    https://wwwa1.settrade.com/brokerpage/023/StaticPage/home/attachfile/equitycomm.html.

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Author information

Authors and Affiliations

  1. School of Management Technology, Sirindhorn International Institute of Technology, Thammasat University, Pathum Thani, 12120, Thailand

    Rujira Chaysiri & Chanrathanak Ngauv

Authors
  1. Rujira Chaysiri
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  2. Chanrathanak Ngauv
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Corresponding author

Correspondence to Rujira Chaysiri .

Editor information

Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Ishikawa, Japan

    Van-Nam Huynh

  2. University of Hyogo, Kobe, Japan

    Tomoe Entani

  3. Sirindhorn International Institute of Technology, Thammasat University, Pathum Thani, Thailand

    Chawalit Jeenanunta

  4. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka, Japan

    Masahiro Inuiguchi

  5. Sirindhorn International Institute of Technology, Thammasat University, Pathum Thani, Thailand

    Pisal Yenradee

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Chaysiri, R., Ngauv, C. (2020). Prediction of Closing Stock Prices Using the Artificial Neural Network in the Market for Alternative Investment (MAI) of the Stock Exchange of Thailand (SET). In: Huynh, VN., Entani, T., Jeenanunta, C., Inuiguchi, M., Yenradee, P. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2020. Lecture Notes in Computer Science(), vol 12482. Springer, Cham. https://doi.org/10.1007/978-3-030-62509-2_28

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  • DOI: https://doi.org/10.1007/978-3-030-62509-2_28

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-62508-5

  • Online ISBN: 978-3-030-62509-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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