APPLICATION OF ARTIFICIAL NEURAL NETWORKS IN STOCK MARKET TIMING: A TECHNICAL ANALYSIS APPROACH

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TEHRANI REZA; ABBASIOUN V.

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2008 | Volume:8 | Issue:1 Page(s): 151-177

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Title

APPLICATION OF ARTIFICIAL NEURAL NETWORKS IN STOCK MARKET TIMING: A TECHNICAL ANALYSIS APPROACH

Author(s)

TEHRANI REZA | ABBASIOUN V. | Issue Writer Certificate

Keywords

STOCK MARKET TIMINGQ3

ARTIFICIAL NEURAL NETWORKSQ3

TECHNICAL ANALYSISQ3

TECHNICAL INDICATORSQ3

BUY AND HOLD STRATEGYQ3

Abstract

STOCK MARKET TIMING is a very difficult task because of the complexity of the market. Since there are various factors affecting the market and therefore it is not a simple task to predict future stock price and its trend. This paper aims to apply advanced tools and algorithms such as the ARTIFICIAL NEURAL NETWORKS (ANN) to model nonlinear processes and predict future stock price and its trend. More specifically, this study explores the abilities of the ANN to enhance the effectiveness of the TECHNICAL ANALYSIS indicators to predict stock trend signals. Using a sample of 50 companies in the Tehran Stock Exchange (TSE), the results indicate that the ANN is capable to predict the direction of the short term movement in the future stock price. After considering the transaction costs, the results confirm that there is not significant difference among the returns gained from the ANN method, BUY AND HOLD STRATEGY, and the most profitable TECHNICAL INDICATORS in the market when the trend is increasing. While, the ANN model yields higher returns compared to BUY AND HOLD STRATEGY in the market when the trend is decreasing. Nevertheless, in the case of decreasing trend, the finding confirms the trend indicators (moving averages) achieve the highest returns.

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APA: Copy

TEHRANI, REZA, & ABBASIOUN, V.. (2008). APPLICATION OF ARTIFICIAL NEURAL NETWORKS IN STOCK MARKET TIMING: A TECHNICAL ANALYSIS APPROACH. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 8(1), 151-177. SID. https://sid.ir/paper/86393/en

Vancouver: Copy

TEHRANI REZA, ABBASIOUN V.. APPLICATION OF ARTIFICIAL NEURAL NETWORKS IN STOCK MARKET TIMING: A TECHNICAL ANALYSIS APPROACH. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2008;8(1):151-177. Available from: https://sid.ir/paper/86393/en

IEEE: Copy

REZA TEHRANI, and V. ABBASIOUN, “APPLICATION OF ARTIFICIAL NEURAL NETWORKS IN STOCK MARKET TIMING: A TECHNICAL ANALYSIS APPROACH,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 8, no. 1, pp. 151–177, 2008, [Online]. Available: https://sid.ir/paper/86393/en

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