A COMPARATIVE STUDY OF NEURAL NETWORK MODELS WITH BOX JENKINS METHODOLOGIES IN PREDICTION OF TEHRAN PRICE INDEX (TEPIX)

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MONFARED J.H.; ALINEJAD M.A.; METGHALCHI S.

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:3 | Issue:11 Page(s): 1-16

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Title

A COMPARATIVE STUDY OF NEURAL NETWORK MODELS WITH BOX JENKINS METHODOLOGIES IN PREDICTION OF TEHRAN PRICE INDEX (TEPIX)

Author(s)

MONFARED J.H. | ALINEJAD M.A. | METGHALCHI S. | Issue Writer Certificate

Keywords

STOCK PRICE PREDICTIONQ2

NEURAL NETWORKQ2

RADIAL BASIS FUNCTION NETWORKSQ2

MULTILAYER PERCEPTRON NEURAL NETWORKQ2

GENERAL REGRESSION NEURAL NETWORKQ2

TIME SERIESQ1

BOX-JENKINSQ2

Abstract

In this research we have carried out a comparative forecasting of Tehran stock price index (TEPIX) based on the artificial NEURAL NETWORK (MLP, RBFN, GRNN) and the BOX-JENKINS model. The forecasts results were compared using RMSE, MAPE, MAE and R2 criterion. The steps involved were building ANN and ARIMA models first and then using this models to forecast the Tehran stock price index. Total of days were 1142 days that we used 80% of them for instructing of models and 20% of them for testing. For making of ANN models we used MA 1LAB and for making of BOX-JENKINS models we used SPSS and EVIEWS. The results showed that all of ANN models performed better than BOX-JENKINS models. in the other hand, RBFN models performed better than the other ANN models.GRNN models performed the worst among ANN models.

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APA: Copy

MONFARED, J.H., ALINEJAD, M.A., & METGHALCHI, S.. (2012). A COMPARATIVE STUDY OF NEURAL NETWORK MODELS WITH BOX JENKINS METHODOLOGIES IN PREDICTION OF TEHRAN PRICE INDEX (TEPIX). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(11), 1-16. SID. https://sid.ir/paper/197900/en

Vancouver: Copy

MONFARED J.H., ALINEJAD M.A., METGHALCHI S.. A COMPARATIVE STUDY OF NEURAL NETWORK MODELS WITH BOX JENKINS METHODOLOGIES IN PREDICTION OF TEHRAN PRICE INDEX (TEPIX). FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;3(11):1-16. Available from: https://sid.ir/paper/197900/en

IEEE: Copy

J.H. MONFARED, M.A. ALINEJAD, and S. METGHALCHI, “A COMPARATIVE STUDY OF NEURAL NETWORK MODELS WITH BOX JENKINS METHODOLOGIES IN PREDICTION OF TEHRAN PRICE INDEX (TEPIX),” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 11, pp. 1–16, 2012, [Online]. Available: https://sid.ir/paper/197900/en

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