Predicting the return of the Japanese stock market with artificial neural network

In recent years, in order to revive the Japanese economy, the Japanese government makes a lot of significant economic strategies and each strategy is closely related with the Japanese stock market. As the most widely used market index for the Tokyo Stock Exchange, the Nikkei 225 index (also known as Nikkei average or the Nikkei) is a benchmark to value the Japanese economy. Forecasting the stock return of Nikkei 225 index is an important financial subject that had attracted great popularity in major financial markets around the world. It has been widely accepted by many studies that nonlinear exists in the financial markets and that artificial neural network (ANN) can be effectively used to uncover this relationship (Enke and Thawornwong, 2005).