multi-step-ahead prediction of stock price using a new architecture of neural networks
نویسندگان
چکیده
modelling and forecasting stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. this nonlinearity affects the efficiency of the price characteristics. using an artificial neural network (ann) is a proper way to model this nonlinearity and it has been used successfully in one-step-ahead and multi-step-ahead prediction of different stocks prices. several factors, such as input variables, preparing data sets, network architectures and training procedures, have huge impact on the accuracy of the neural network prediction. the purpose of this paper is to predict multi-step-ahead prices of the stock market and derive the method, based on recurrent neural networks (rnn), real-time recurrent learning (rtrl) networks and nonlinear autoregressive model process with exogenous input (narx). this model is trained and tested by tehran securities exchange data.
منابع مشابه
Multi-Step-Ahead Prediction of Stock Price Using a New Architecture of Neural Networks
Modelling and forecasting Stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. This nonlinearity affects the efficiency of the price characteristics. Using an Artificial Neural Network (ANN) is a proper way to model this nonlinearity and it has been used successfully in one-step-ahead and multi-step-ahead prediction of di...
متن کاملMulti-step-ahead Prediction with Neural Networks: a Review
We review existing approaches in using neural networks for solving multi-step-ahead prediction problems. A few experiments allow us to further explore the relationship between the ability to learn longer-range dependencies and performance in multi-stepahead prediction. We eventually focus on characteristics of various multi-step-ahead prediction problems that encourage us to prefer one method o...
متن کاملOne step ahead prediction using Fuzzy Boolean Neural Networks
Time series prediction is a problem with a wide range of applications, including energy systems planning, currency forecasting, stock exchange operations or traffic prediction. Accordingly, a number of different prediction approaches have been proposed such as linear models, Feedforward Neural network models, Recurrent Neural networks or Fuzzy Neural Models. In this paper one presents a predict...
متن کاملStock Price Prediction Using Quantum Neural Network
Quantum Neural Network (QNN) can improve upon the inadequacies of the classical neural network (CNN). The CNN requires a huge memory and needs more computational power. A new field of computation is emerging which integrates quantum computation with CNN. A quantum inspired hybrid model of quantum neurons and classical neurons is proposed. This paper details an approach, perhaps the first attemp...
متن کاملForecasting Stock Market Using Wavelet Transforms and Neural Networks and ARIMA (Case study of price index of Tehran Stock Exchange)
The goal of this research is to predict total stock market index of Tehran Stock Exchange, using the compound method of ARIMA and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. First, the series of price index was decomposed by wavelet transform, then the smooth's series predicted by using...
متن کاملDiscovering Stock Price Prediction Rules of Bombay Stock Exchange Using Rough Fuzzy Multi Layer Perception Networks
In India financial markets have existed for many years. A functionally accented, diverse, efficient and flexible financial system is vital to the national objective of creating a market-driven, productive and competitive economy. Today markets of varying maturity exist in equity, debt, commodities and foreign exchange. Of the 25 stock markets in the country, the most important is Bombay Stock E...
متن کاملمنابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
journal of computer and roboticsجلد ۸، شماره ۱، صفحات ۴۷-۵۶
کلمات کلیدی
میزبانی شده توسط پلتفرم ابری doprax.com
copyright © 2015-2023