Stock Price Prediction in Tehran Stock Exchange Using Artificial Neural Network Model and ARIMA Model: A Case Study of Two Active Pharmaceutical Companies in Stock Exchange

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Chegeni Ahmad; GORD AZIZ

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 350-371

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Title

Stock Price Prediction in Tehran Stock Exchange Using Artificial Neural Network Model and ARIMA Model: A Case Study of Two Active Pharmaceutical Companies in Stock Exchange

Author(s)

Chegeni Ahmad | GORD AZIZ | Issue Writer Certificate

Keywords

Prediction modelQ1

Stocks PriceQ2

Artificial Neural NetworkQ2

Arima modelQ1

Abstract

In This Study We Compare the Efficiency of Both Artificial Neural Network Prediction Methods (ANN) and Traditional Method of Auto Regressive Integrated Moving Average (ARIMA) in Predicting Stock Prices in Iranian Stock Market. For This Purpose, Four Pharmaceutical Companies, Alborz Drug, Iran Drug, Pars Drug, and Jam Drug Were Selected and Arima model and Artificial Neural Network Model Were Estimated For All Four Companies. In Order to Estimate Artificial Neural Network Model, Stock Price Variable as Dependent Variable and Stock Trading Volume, Drug Industry Index, OPEC Oil Price, Exchange Rate and Gold Price are Considered as Independent Variables. MSE, RMSE, MAD, R2 and MAPE Criteria Were Used to Compare Two Models. In Order to Estimate the Stock Price Forecast Regression Model, Use of Auto Regressive Integrated Moving Average (ARIMA) Regression Is Used and Estimation of the Coefficients of the Model is Performed Using the EVIEWS Statistical Software. An Suitable ANN Model Was Created For Predicting Stock Prices Using MATLAB Software. The Results of the Research Showed That the Research Hypothesis is Correct and the Artificial Neural Network Model (ANN) Has a Better Predictor of Stock Price in the Iranian Stock Market Than the ARIMA Method.

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APA: Copy

Chegeni, Ahmad, & GORD, AZIZ. (2020). Stock Price Prediction in Tehran Stock Exchange Using Artificial Neural Network Model and ARIMA Model: A Case Study of Two Active Pharmaceutical Companies in Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 350-371. SID. https://sid.ir/paper/396733/en

Vancouver: Copy

Chegeni Ahmad, GORD AZIZ. Stock Price Prediction in Tehran Stock Exchange Using Artificial Neural Network Model and ARIMA Model: A Case Study of Two Active Pharmaceutical Companies in Stock Exchange. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):350-371. Available from: https://sid.ir/paper/396733/en

IEEE: Copy

Ahmad Chegeni, and AZIZ GORD, “Stock Price Prediction in Tehran Stock Exchange Using Artificial Neural Network Model and ARIMA Model: A Case Study of Two Active Pharmaceutical Companies in Stock Exchange,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 350–371, 2020, [Online]. Available: https://sid.ir/paper/396733/en

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