Mohammad Abdollahzadeh; Ataabak Baagherzadeh Hushmandi; Parisa Nabati
Abstract
In recent years, precise analysis and prediction of financial time series data have received significant attention. While advanced linear models provide suitable predictions for short and medium-term periods, market studies have indicated that stock behavior adheres to nonlinear patterns and linear models ...
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In recent years, precise analysis and prediction of financial time series data have received significant attention. While advanced linear models provide suitable predictions for short and medium-term periods, market studies have indicated that stock behavior adheres to nonlinear patterns and linear models capturing only a portion of the market's stock behavior. Nonlinear exponential autoregressive models have proven highly practical in solving financial problems. This article introduces a new nonlinear model that allocates coefficients to significant variables. To achieve this, existing exponential autoregressive models are analyzed, tests are conducted to validate data integrity and identify influential factors in data trends, and an appropriate model is determined. Subsequently, a novel coefficient allocation method for optimizing the nonlinear exponential Autoregressive model is proposed. The article then proves the ergodicity of the new model and determines its order using the Akaike Information Criterion (AIC). Model parameters are estimated using the nonlinear least squares method. To demonstrate the performance of the proposed model, numerical simulations of Kayson Corporation's stocks are analyzed using existing methods and the new approach. The numerical simulation results confirm the effectiveness and prediction accuracy of the proposed method compared to existing approaches.
Abdulrashid Jamnia; Mohammad Reza Sasouli; Emambakhsh Heidouzahi; Mohsen Dahmarde Ghaleno
Abstract
The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is ...
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The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is important for finance practitioners and policy-makers. Therefore, in this research, a comparative investigation was presented on two superior deep-learning-based models, including long short-term memory (LSTM), and convolutional neural network long short-term memory (CNN)-LSTM, applied for analysing prediction of the total stock price index of Tehran stock exchange (TSE) market. The complete dataset utilized in the current analysis covered the period from September 23, 2011 to June 22, 2021 with a total of 3,739 trading days in the TSE market. Forecasting accuracy and performance of the two proposed models were appraised using root mean square error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE) criteria. Based on the results, the CNN-LSTM showed the lowest values of the aforementioned metrics compared to the LSTM model, and it was found that the CNN-LSTM model could be effective in providing the best prediction performance of the total stock price index on the TSE market. Eventually, graphically and numerically, various prediction results obtained from the proposed models were analysed for more comprehensive analysis.
