ANALYSIS OF MOST IMPORTANT VARIABLES AFFECTING TEPIX AND MODELING THEM WITH ARTIFICIAL NEURAL NETWORKS AND COMPARING RESULTS WITH TECHNICAL ANALYSIS AND ELLIOTT WAVES

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KAMRAVAFAR MOHAMMAD; HASHEMI S.ZABIHOLLAH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:8 | Issue:30 Page(s): 169-184

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Title

ANALYSIS OF MOST IMPORTANT VARIABLES AFFECTING TEPIX AND MODELING THEM WITH ARTIFICIAL NEURAL NETWORKS AND COMPARING RESULTS WITH TECHNICAL ANALYSIS AND ELLIOTT WAVES

Author(s)

KAMRAVAFAR MOHAMMAD | HASHEMI S.ZABIHOLLAH | Issue Writer Certificate

Keywords

ARTIFICIAL NEURAL NETWORKS (ANN)Q2

TEPIXQ1

TECHNICAL ANALYSISQ1

ELLIOT WAVESQ1

Abstract

The main goal of this research is to studying an identifying the main influencing variables on the TEPIX (Tehran Stock Price Index) and modelling them using artificial neural networks and comparing results with TECHNICAL ANALYSIS and ELLIOT WAVES. Independent variables used are dollar exchange rate, inflation, GDP, unemployment and liquidity and dependent variable is TEPIX. In this study, artificial neural networks (NLP and GMDH), TECHNICAL ANALYSIS tools (Elliot waves and regression channel) are used that they show between independent variables in GMDH, unemployment is unneeded variable and have low influence, but others have high influence in the model. Further the study shows that TECHNICAL ANALYSIS and artificial neural networks may have same results, but ANN have more power to predict the TEPIX.

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APA: Copy

KAMRAVAFAR, MOHAMMAD, & HASHEMI, S.ZABIHOLLAH. (2017). ANALYSIS OF MOST IMPORTANT VARIABLES AFFECTING TEPIX AND MODELING THEM WITH ARTIFICIAL NEURAL NETWORKS AND COMPARING RESULTS WITH TECHNICAL ANALYSIS AND ELLIOTT WAVES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 8(30), 169-184. SID. https://sid.ir/paper/197641/en

Vancouver: Copy

KAMRAVAFAR MOHAMMAD, HASHEMI S.ZABIHOLLAH. ANALYSIS OF MOST IMPORTANT VARIABLES AFFECTING TEPIX AND MODELING THEM WITH ARTIFICIAL NEURAL NETWORKS AND COMPARING RESULTS WITH TECHNICAL ANALYSIS AND ELLIOTT WAVES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;8(30):169-184. Available from: https://sid.ir/paper/197641/en

IEEE: Copy

MOHAMMAD KAMRAVAFAR, and S.ZABIHOLLAH HASHEMI, “ANALYSIS OF MOST IMPORTANT VARIABLES AFFECTING TEPIX AND MODELING THEM WITH ARTIFICIAL NEURAL NETWORKS AND COMPARING RESULTS WITH TECHNICAL ANALYSIS AND ELLIOTT WAVES,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 8, no. 30, pp. 169–184, 2017, [Online]. Available: https://sid.ir/paper/197641/en

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