intelligent GMDH forecaster for forecasting certain variables in financial markets

In this thesis, application of GMDH Algorithm to real life problems is studied. A particular type of GMDH Algorithm namely TMNN is chosen for this purpose. An effort is made to forecast S&P Index Closing Value with the help of the forecaster. The performance of the TMNN Algorithm is simulated by implementing a tool in C++ for developing forecast models. The validation of this simulation tool is carried out with Sine Wave Values and performance analysis is done in a noisy environment. The noisy environment tests the TMNN forecaster for its robustness. The primary goal of this research is to develop a simulation software based on TMNN Algorithm for forecasting stock market index values. The main inputs are previous day's closing values and the output is predicted closing index.