MULTI-STEP-AHEAD PREDICTION OF STOCK PRICE USING A NEW ARCHITECTURE OF NEURAL NETWORKS

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TALEBI MOTLAGH MOHAMMAD; KHALOOZADEH HAMID

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Journal Paper

Paper Information

Journal: JOURNAL OF COMPUTER AND ROBOTICS Year:2015 | Volume:8 | Issue:1 Page(s): 47-56

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Information Journal Paper

Title

MULTI-STEP-AHEAD PREDICTION OF STOCK PRICE USING A NEW ARCHITECTURE OF NEURAL NETWORKS

Author(s)

TALEBI MOTLAGH MOHAMMAD | KHALOOZADEH HAMID | Issue Writer Certificate

Keywords

STOCK PRICE

NEURAL NETWORK

PREDICT

MULTI-STEP-AHEAD PREDICTION

Abstract

Modelling and forecasting Stock market is a challenging task for economists and engineers since it has a dynamic structure and nonlinear characteristic. This nonlinearity affects the efficiency of the price characteristics. Using an Artificial NEURAL NETWORK (ANN) is a proper way to model this nonlinearity and it has been used successfully in onestep-ahead and multi-step-ahead PREDICTion of different stocks prices. Several factors, such as input variables, preparing data sets, network architectures and training procedures, have huge impact on the accuracy of the NEURAL NETWORK PREDICTion. The purpose of this paper is to PREDICT multi-step-ahead prices of the stock market and derive the method, based on Recurrent NEURAL NETWORKs (RNN), Real-Time Recurrent Learning (RTRL) networks and Nonlinear Autoregressive model process with exogenous input (NARX). This model is trained and tested by Tehran Securities Exchange data.

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APA: Copy

TALEBI MOTLAGH, MOHAMMAD, & KHALOOZADEH, HAMID. (2015). MULTI-STEP-AHEAD PREDICTION OF STOCK PRICE USING A NEW ARCHITECTURE OF NEURAL NETWORKS. JOURNAL OF COMPUTER AND ROBOTICS, 8(1), 47-56. SID. https://sid.ir/paper/698620/en

Vancouver: Copy

TALEBI MOTLAGH MOHAMMAD, KHALOOZADEH HAMID. MULTI-STEP-AHEAD PREDICTION OF STOCK PRICE USING A NEW ARCHITECTURE OF NEURAL NETWORKS. JOURNAL OF COMPUTER AND ROBOTICS[Internet]. 2015;8(1):47-56. Available from: https://sid.ir/paper/698620/en

IEEE: Copy

MOHAMMAD TALEBI MOTLAGH, and HAMID KHALOOZADEH, “MULTI-STEP-AHEAD PREDICTION OF STOCK PRICE USING A NEW ARCHITECTURE OF NEURAL NETWORKS,” JOURNAL OF COMPUTER AND ROBOTICS, vol. 8, no. 1, pp. 47–56, 2015, [Online]. Available: https://sid.ir/paper/698620/en

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