Forecasting Stock Price using Hybrid Model based on Wavelet Transform in Tehran and New York Stock Market
Forecasting financial markets is an important issue in finance area and research studies. On one hand, the importance of prediction, and on the other hand, its complexity, have led to huge number of researches which have proposed many forecasting methods in this area. In this study, we propose a hybrid model including Wavelet Transform, ARMA-GARCH and Artificial Neural Network (ANN) for single-period and multi-period forecasting of stock market price in different markets. At first, we decompose time series into detail and approximate series with wavelet transform, and then we used ARMA-GARCH and ANN models to forecast detail and approximate series, respectively. In addition to the approximate series, we use some technical indexes in this model to improve our ANN model. To evaluate the proposed model in forecasting stock price, we compare our model with ANN, ARIMA-GARCH and ARIMA-ANN models on Tehran and New York Stock Exchange (NYSE) historical prices. The results of study show that the proposed model has better performance in single-period forecasting on Tehran and New York market rather than other models.
Forecasting Stock Market Using Wavelet Transforms and Neural Networks and ARIMA (Case study of price index of Tehran Stock Exchange)
The goal of this research is to predict total stock market index of Tehran Stock Exchange, using the compound method of ARIMA and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. First, the series of price index was decomposed by wavelet transform, then the smooth's series predicted by using...متن کامل
Forecasting Stock Market Using Wavelet Transforms and Neural Networks: An integrated system based on Fuzzy Genetic algorithm (Case study of price index of Tehran Stock Exchange)
The jamor purpose of the present research is to predict the total stock market index of Tehran Stock Exchange, using a combined method of Wavelet transforms, Fuzzy genetics, and neural network in order to predict the active participations of finance market as well as macro decision makers.To do so, first the prediction was made by neural network, then a series of price index was decomposed by w...متن کامل
Prediction of market prices is an important and well-researched problem. While traditional techniques have yielded good results, rooms for improvement still exists, especially in the ability to explain sudden changes in behavior, as a response to shocks. Nonlinear systems have been successfully used to describe phase transitions in deterministic chaotic systems, so the combination of the expres...متن کامل
forecasting stock market using wavelet transforms and neural networks and arima (case study of price index of tehran stock exchange)
the goal of this research is to predict total stock market index of tehran stock exchange, using the compound method of arima and neural network in order for the active participations of finance market as well as macro decision makers to be able to predict trend of the market. first, the series of price index was decomposed by wavelet transform, then the smooth's series predicted by using...متن کامل
Effect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...متن کامل
This paper presents performance analysis of hybrid model comprise of concordance and Genetic Programming (GP) to forecast financial market with some existing models. This scheme can be used for in depth analysis of stock market. Different measures of concordances such as Kendall’s Tau, Gini’s Mean Difference, Spearman’s Rho, and weak interpretation of concordance are used to search for the patt...متن کامل
دوره 3 شماره 11
صفحات 43- 57
تاریخ انتشار 2018-10-01
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