A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis

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AHMADI E.; Abooie M. H.; JASEMI M.; ZARE MEHRJARDI Y.

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Journal Paper

Paper Information

Journal: INTERNATIONAL JOURNAL OF ENGINEERING Year:2016 | Volume:29 | Issue:12 Page(s): 1717-1725

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Title

A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis

Author(s)

AHMADI E. | Abooie M. H. | JASEMI M. | ZARE MEHRJARDI Y. | Issue Writer Certificate

Keywords

Finance

Stock Market Forecasting

Technical Analysis

NARX Recurrent Neural

Network

Levenberg–marquardt

Algorithm

Abstract

In this paper, the nonlinear autoregressive model with exogenous variables as a new neural Network is used for timing of the stock markets on the basis of the Technical Analysis of Japanese Candlestick. In this model, the “ nonlinear autoregressive model with exogenous variables” is an analyzer. For a more reliable comparison, here (like the literature) two approaches of Raw-based and Signal-based are devised to generate the input data of the model. The correct predictions percentages for periods of 1-6 days with the total number of buy and sell signals are considered. The result proves that to some extent the approaches have similar performances while apparently, they are superior to a feed-forward static neural Network. The created Network is evaluated by the measure of Mean of Squared Error and the proposed model accuracy is calculated to be extremely high.

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APA: Copy

AHMADI, E., Abooie, M. H., JASEMI, M., & ZARE MEHRJARDI, Y.. (2016). A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis. INTERNATIONAL JOURNAL OF ENGINEERING, 29(12), 1717-1725. SID. https://sid.ir/paper/734826/en

Vancouver: Copy

AHMADI E., Abooie M. H., JASEMI M., ZARE MEHRJARDI Y.. A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis. INTERNATIONAL JOURNAL OF ENGINEERING[Internet]. 2016;29(12):1717-1725. Available from: https://sid.ir/paper/734826/en

IEEE: Copy

E. AHMADI, M. H. Abooie, M. JASEMI, and Y. ZARE MEHRJARDI, “A Nonlinear Autoregressive Model with Exogenous Variables Neural Network for Stock Market Timing: The Candlestick Technical Analysis,” INTERNATIONAL JOURNAL OF ENGINEERING, vol. 29, no. 12, pp. 1717–1725, 2016, [Online]. Available: https://sid.ir/paper/734826/en

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