Fundamental Data Neural Net Model

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I’ve been reading Gauging Corporate Financial Results for a while now and really enjoy the site. I mentioned them in my Random Thoughts post on Friday as a further inspiration for my Fundamental Data Neural Net Model. Well inspiration did hit me last week when I remembered that when I data mined fundamental stock data, certain key components (Forward PE, Capitialization, etc) would have greater influences on price appreciation.

Still, the fundamental data makeup of a stock can be quite large and sifting through all that data can be tiresome, but there’s a way to solve that. I can either create a Cluster Neural Net model to see which components are grouped together or I can create a Genetic Algorithm model to help choose the best fundamental components to analyze. Decisions, decisions!

[tags]NeuralNet, Cluster, GeneticAlgorithm, GA, Genetic, Stock, Fundamental, Data, Analysis[/tags]

  • canyonal

    re:fundamentals. did you take a look at Altmans work (NYU). the model is simple. it may be better to use for bonds.

    what are the criteria you intuitively favor?

    C

  • Tom

    C: I was unaware of Altman’s work on this subject, let me look around for it. Thanks for the tip.