APPLICATION OF THE ADAPTIVE NEURO-FUZZY NETWORK ON THE IRAN KHODRO STOCK PRICE FORECASTING

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ABBASI EBRAHIM; ABOUE AMIR

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:2 | Issue:7 Page(s): 187-213

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Information Journal Paper

Title

APPLICATION OF THE ADAPTIVE NEURO-FUZZY NETWORK ON THE IRAN KHODRO STOCK PRICE FORECASTING

Author(s)

ABBASI EBRAHIM | ABOUE AMIR | Issue Writer Certificate

Keywords

STOCK PRICE FORECASTINGQ2

NEURO-FUZZY NETWORKQ2

ADAPTIVE NEURO-FUZZY INFERENCE SYSTEMQ2

MEMBERSHIP FUNCTIONQ2

Abstract

In this research, using a ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM an applied model to identify the existing trend in the stock price of the Iran Khodro company in Tehran stock exchange has been designed. Time priod in this research from 2002 to 2009 were divided in two periods the same as follows: a long-term period including information concerned to 8 years. For the short-term period including seasonal information concerned To 8 years. For the long-term Period, one Neuro-Fuzzy model with two Triangular MEMBERSHIP FUNCTION & 4 independent variables including transaction volume, Dividend Per Share (DPS), Price to Earning ratio (PIE) and the last daily stock price was selected as the optimum model. For the short-term period, also a neureo-fuzzy model with two Triangular MEMBERSHIP FUNCTION for the first 3 months, two Trapezoidal MEMBERSHIP FUNCTION for the second 3 months, two Gaussian combination MEMBERSHIP FUNCTION for the third 3 months & two Trapezoidal MEMBERSHIP FUNCTION for the fourth 3 months were selected. The identification of the general trend of the stock price has been done by a Neuro-Fuzzy model with two Triangular MEMBERSHIP FUNCTIONs & 4 independent variables including transaction volume, Dividend Per Share (DPS), Price to Earning Ratio (PIE). As a result, using this model, the general trend of the stock price of Iran Khodro company was predicted with low errors level.

Cites

MEASUREMENT OF TEDPIX FORECASTING ERROR WITH USE OF ARMA & MULTI RANK FUZZY TIME SERIES METHODS

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APA: Copy

ABBASI, EBRAHIM, & ABOUE, AMIR. (2011). APPLICATION OF THE ADAPTIVE NEURO-FUZZY NETWORK ON THE IRAN KHODRO STOCK PRICE FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(7), 187-213. SID. https://sid.ir/paper/197888/en

Vancouver: Copy

ABBASI EBRAHIM, ABOUE AMIR. APPLICATION OF THE ADAPTIVE NEURO-FUZZY NETWORK ON THE IRAN KHODRO STOCK PRICE FORECASTING. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;2(7):187-213. Available from: https://sid.ir/paper/197888/en

IEEE: Copy

EBRAHIM ABBASI, and AMIR ABOUE, “APPLICATION OF THE ADAPTIVE NEURO-FUZZY NETWORK ON THE IRAN KHODRO STOCK PRICE FORECASTING,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 7, pp. 187–213, 2011, [Online]. Available: https://sid.ir/paper/197888/en

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