Forecasting the bank's financial resources using the linear model (ARIMA) and nonlinear artificial fuzzy networks

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mehri namak awarani omid; EHTESHAM RASI REZA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:10 | Issue:41 Page(s): 1-25

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Title

Forecasting the bank's financial resources using the linear model (ARIMA) and nonlinear artificial fuzzy networks

Author(s)

mehri namak awarani omid | EHTESHAM RASI REZA | Issue Writer Certificate

Keywords

Autoregressive integrated moving average (ARIMA)Q1

Neural networkQ2

financial resourcesQ1

Abstract

One of the most important issues of banking managers as an influential variable on the banking industry is the knowledge of the status of bank deposits that the bank depends on a large extent on it. Therefore, bank managers are keen to know how much the total bank deposits will be at a given time in the future. Predicting the amount of deposits, changes and fluctuations of these deposits can help banks in planning and decision making. In this research, using statistical techniques and approach of artificial Neural network models, we have tried to introduce a model with the highest estimation power and the least amount of error to predict the amount of deposits or the same sources of finance by their different types for the desired bank. To test the hypotheses, one private bank information was used during the period of 1387-1396. In this research, we compared the predictive power of ARIMA and artificial Neural network method. To assess the accuracy of forecasting the bank's resources, the ARIMA method used Coopiff and Christopherson tests. The results of the research on the amount of bank deposits monthly showed that the Neural network method provides better estimates than the ARIMA method.

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APA: Copy

mehri namak awarani, omid, & EHTESHAM RASI, REZA. (2020). Forecasting the bank's financial resources using the linear model (ARIMA) and nonlinear artificial fuzzy networks. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(41 ), 1-25. SID. https://sid.ir/paper/396515/en

Vancouver: Copy

mehri namak awarani omid, EHTESHAM RASI REZA. Forecasting the bank's financial resources using the linear model (ARIMA) and nonlinear artificial fuzzy networks. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;10(41 ):1-25. Available from: https://sid.ir/paper/396515/en

IEEE: Copy

omid mehri namak awarani, and REZA EHTESHAM RASI, “Forecasting the bank's financial resources using the linear model (ARIMA) and nonlinear artificial fuzzy networks,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 41 , pp. 1–25, 2020, [Online]. Available: https://sid.ir/paper/396515/en

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