Multi-Step-Ahead Prediction of Stock Price Using a New Architecture of Neural Networks
سال انتشار: 1394
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 409
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شناسه ملی سند علمی:
JR_JCR-8-1_005
تاریخ نمایه سازی: 23 دی 1396
چکیده مقاله:
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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نویسندگان
Mohammad Talebi Motlagh
Department of Systems and Control, Industrial Control Center of Excellence, K.N.Toosi University of Technology, Tehran, Iran
Hamid Khaloozadeh
Department of Systems and Control, Industrial Control Center of Excellence, K.N.Toosi University of Technology, Tehran, Iran