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Artificial neural networks are extensively used to predict the financial time series. This study implements the neural network model for predicting the daily returns of the Pakistan Stock Exchange (PSE). Such an application for PSE is very rare. A multi-layer perception network is used for the model used in this study, while the network is trained using the Error Back Propagation algorithm. The results showed that the predictive power of the network was performed by the return of the previousdoi:10.31529/sjms.2018.4.2.5 fatcat:zh4mg25ut5guplvwu5nzwq5fam