AN EVALUATION OF LINEAR AND NON-LINEAR MODELS IN FORECASTING STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE

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KHOSRAVI NEJAD ALI AKBAR; SHABANI MARJAN

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Journal: Financial Economics Year:2014 | Volume:8 | Issue:27 Page(s): 51-64

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Title

AN EVALUATION OF LINEAR AND NON-LINEAR MODELS IN FORECASTING STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE

Author(s)

KHOSRAVI NEJAD ALI AKBAR | SHABANI MARJAN | Issue Writer Certificate

Keywords

FORECASTINGQ2

TIME SERIESQ2

ARTIFICIAL NEURAL NETWORKSQ2

Abstract

Because of the effect of stock market in financial preparing and country's development, finding a suitable method for FORECASTING stock market is important. Because of the possibility of non-linear relationships in financial markets, the purpose of this paper is to evaluate the prediction’s power of linear and non-linear methods in stock market. First the weekly data of stock price index in Tehran stock exchange has been estimated in 1383 to 1389 using TIME SERIES and neural networks methods. Then best model has been presented. The results show that artificial neural network model has better performance than TIME SERIES.

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APA: Copy

KHOSRAVI NEJAD, ALI AKBAR, & SHABANI, MARJAN. (2014). AN EVALUATION OF LINEAR AND NON-LINEAR MODELS IN FORECASTING STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 8(27), 51-64. SID. https://sid.ir/paper/229180/en

Vancouver: Copy

KHOSRAVI NEJAD ALI AKBAR, SHABANI MARJAN. AN EVALUATION OF LINEAR AND NON-LINEAR MODELS IN FORECASTING STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2014;8(27):51-64. Available from: https://sid.ir/paper/229180/en

IEEE: Copy

ALI AKBAR KHOSRAVI NEJAD, and MARJAN SHABANI, “AN EVALUATION OF LINEAR AND NON-LINEAR MODELS IN FORECASTING STOCK PRICE INDEX IN TEHRAN STOCK EXCHANGE,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 8, no. 27, pp. 51–64, 2014, [Online]. Available: https://sid.ir/paper/229180/en

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