THE PREDICTION TEHRAN EXCHANGE PRICE INDEX (TEPLX) USING ARTIFICIAL NEURAL NETWORKS (ANN)

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SINAYI H.A.; MORTAZAVI S.; TAYMOORIASL Y.

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Paper Information

Journal: THE IRANIAN ACCOUNTING AND AUDITING REVIEW Year:2005 | Volume:12 | Issue:41 Page(s): 59-83

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Title

THE PREDICTION TEHRAN EXCHANGE PRICE INDEX (TEPLX) USING ARTIFICIAL NEURAL NETWORKS (ANN)

Author(s)

SINAYI H.A. | MORTAZAVI S. | TAYMOORIASL Y. | Issue Writer Certificate

Keywords

PREDICTIONQ2

PRICE INDEXQ4

TEHRAN EXCHANGE PRICE INDEXQ2

ARTIFICIAL NEURAL NETWORKS (ANN)Q4

CHAOS THEORYQ4

Abstract

The present research studies on the PREDICTION of Tehran Exchange PRICE INDEX (TEPIX) using artificial neural networks and represents some evidences on chaotic behavior of Tehran Exchange PRICE INDEX. TEPIX data form 1990-2003 was used in this research. Two sets of data were selected for neural network input. Different lags of index and macroeconomic factors as independent variables. Index value in the next week was the network output. The neural networks used in this research were multilayer perception (MLP). That trained with back propagation algorithm, and contained three-layer feed forward neural networks (Input, Hidden and Output layer) and four-layer (Input layer, hidden double layer and Output layer) with different number of neurons in input and hidden layers. Functions used in the middle layer are nonlinear tan sigmoid and linear in the output layer, the training command is also applied for network training. Furthermore, the linear ARIMA model is used to predict the PRICE INDEX for the next week. The research results shows that the neural networks have better performance for the PREDICTION of PRICE INDEX rather than linear ARIMA model. The acceptable MSE for network error in test and estimations data indicates that there are chaotic movements in the behavior of PRICE INDEX. The calculated R2 test indicates some evidences opposite to the Efficient Market Hypothesis (EMH) and random walk.

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APA: Copy

SINAYI, H.A., MORTAZAVI, S., & TAYMOORIASL, Y.. (2005). THE PREDICTION TEHRAN EXCHANGE PRICE INDEX (TEPLX) USING ARTIFICIAL NEURAL NETWORKS (ANN). THE IRANIAN ACCOUNTING AND AUDITING REVIEW, 12(41), 59-83. SID. https://sid.ir/paper/8309/en

Vancouver: Copy

SINAYI H.A., MORTAZAVI S., TAYMOORIASL Y.. THE PREDICTION TEHRAN EXCHANGE PRICE INDEX (TEPLX) USING ARTIFICIAL NEURAL NETWORKS (ANN). THE IRANIAN ACCOUNTING AND AUDITING REVIEW[Internet]. 2005;12(41):59-83. Available from: https://sid.ir/paper/8309/en

IEEE: Copy

H.A. SINAYI, S. MORTAZAVI, and Y. TAYMOORIASL, “THE PREDICTION TEHRAN EXCHANGE PRICE INDEX (TEPLX) USING ARTIFICIAL NEURAL NETWORKS (ANN),” THE IRANIAN ACCOUNTING AND AUDITING REVIEW, vol. 12, no. 41, pp. 59–83, 2005, [Online]. Available: https://sid.ir/paper/8309/en

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