Application of Neural Networks in Forecasting SSE Composite Index

The methodology is proposed to forecast the daily SSE Composite Index based on artificial neural network and wavelet analysis. The original Composite Index series is decomposed into various components using wavelet techniques at first. The neural network is applied for modeling components of the decomposed series. The final forecast is obtained by combining the components series forecasts. The empirical results show the superior performance of the proposed methodology as compared to the neural network forecasting models. In addition, the results show the obvious difference among different type network in forecasting performance.