Shah, Trupti U.

The goal of time series forecasting is to identify the underlying pattern and use these patterns to predict the future path of the series. To capture the future path of a dynamic stock market variable is one of the toughest challenges. This thesis is about the development of a new methodology in financial forecasting. An effort is made to develop a neural network forecaster using time-series phenomena. The main outcome of this new approach for financial forecasting is a systematic way of constructing a Neural Network Forecaster for nonlinear and non-stationary time-series data that leads to very good out-of-sample prediction. The tool used for the validation of this research is "Brainmaker". This thesis also contains a small survey of available tools used for financial forecasting.