Prediction of Stock Market Behavior Based on Artificial Neural Networks through Intelligent Ensemble Learning Approach | ||
| Industrial Management Journal | ||
| مقاله 8، دوره 10، شماره 2، 2018، صفحه 315-334 اصل مقاله (567.78 K) | ||
| نوع مقاله: Original Research Article | ||
| شناسه دیجیتال (DOI): 10.22059/imj.2018.255079.1007412 | ||
| نویسندگان | ||
| Mohammad Taghi Faghihi Nezhad1؛ Behrouz Minaei* 2 | ||
| 1Ph.D. Student in Information Technology Engineering, Faculty of Engineering, Qom University, Qom, Iran | ||
| 2Associate Prof., School of Computer Engineering, Iran University of Science and Technology, Tehran, Iran. | ||
| چکیده | ||
| Objective: Accurate forecasting of stock market behavior is invaluable for traders. Forecasting financial time series is among the important and challenging problems and researchers try to extract hidden patterns to predict the future behavior of the stock market. The purpose of this paper is to provide an intelligent model to predict stock market behavior. Methods: This paper employs ensemble learning (EL) algorithm model using neural network base learners to increase the accuracy. In order to consider the direction of price change in the stock price forecasting, a two-stage structure was used. In the first stage, the next direction of the stock price (increase or decrease) was predicted and thenit was employed to forecast the price. Results: The most important challenges of the proposed models in the stock market were the accuracy of the results and how to increase the forecasting efficiently. Research in this field has paid little attention to the prediction of the direction of the next movement of stock price, while it is very important regarding the profitability. The use of artificial intelligence-based models has shown that the stock market is predictable despite its uncertain and unstable nature. Conclusion: The evaluation of results in stock market dataset shows that the proposed model suggests higher accuracy compared to other models in the literature. In addition, it can overcome the market fluctuations and can be used as a reliable and applicable model in the stock markets. | ||
| کلیدواژهها | ||
| Estimating the direction of price movement؛ Ensemble learning؛ Intelligent prediction models؛ Neural Network؛ Stock price prediction | ||
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