Designing non-linear pattern contagious influence of the Tehran Price Index from the physical assets market (Application of NARX artificial neural network model)
Subject Areas : Financial engineering
mahdi shaban
1
(
Department of Accounting, Birjand Branch, Islamic Azad University, Birjand, Iran
)
habibollah nakhaei
2
(
Department of Accounting, Birjand Branch, Islamic Azad University, Birjand, Iran
)
Ghodrat Alloh Talebnia
3
(
Department of Accounting, Science and Research Branch, Islamic Azad University, Tehran, Iran
)
nazanin bashirimanesh
4
(
Department of Accounting, College of accounting, Birjand Branch, Piyam noor University, Birjand, Iran
)
Keywords: Tehran Stock Exchange, Prediction, Time delay, Dynamic Artificial Neural Network, Conditional Fluctuations,
Abstract :
The present study examines the contagiousness of the Tehran Stock Exchange from the price of parallel assets using the dynamic neural network. To perform calculations, the time series of coin price variables as a representative of the gold market, the average price per square meter of residential building as a representative of the housing market. The price of each barrel of Iranian crude oil and the US dollar exchange rate and their conditional fluctuations as explanatory variables and the total index of Tehran Stock Exchange and its conditional fluctuation as the target variable from 1387 to 1397 are examined daily .The dynamic neural network is evaluated with four input variables and one target variable with different neurons with the MSE criteria, and the models with 20 neurons and 10 neurons have the lowest MSE, .Research results show that the stock exchange has a maximum of two lag from competing markets has become contagious, indicating the poor performance of the Tehran Stock Exchange. The results show that the proposed neural network patterns have a high power in predicting the index of Tehran Stock Exchange and its fluctuations from 1387 to 1397 as in-sample forecast and in 1398 as extra-sample forecast.
_||_
