Providing a model for predicting stock prices using ultra-innovative neural networks

Subject Areas : Financial engineering

Seyyed Hosein  Miralavi ¹ (Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran)
zahra  pourzamani ² (Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran)

Received: 2019-02-19 Accepted : 2019-03-03 Published : 2019-09-23

Keywords: Prediction, Time series, Multilayer Perceptron Neural Network, Grasshopper Optimizations Evolutionary Algorithm,

Abstract :

Due to the complexity of the stock market and the high volume of processable information, often using a simple system to predict cannot release appropriate results. Therefore, researchers have been trying to provide a system with less complexity and more efficiency and accuracy using hybrid models. nowadays various patters are used including statistical technique (discriminate analysis , logistic , analysis factors) and artificial intelligent techniques ( neural networks(NN) , decision trees , case based reasoning , genetic algorithm , rough sets , support vector machine , fuzzy logic ) and the combination of these two technique for predicating stock prices. For most predictive models, the system uses only one indicator to predict, but in the proposed model in this study, a two-level system of multilayered perceptron neural networks is presented which uses several indicators to predict. To do this, required information of Tehran Stock Exchange price indicators, for fiscal years 2012 - 2017 was collected. We also used the Grasshopper Optimization Algorithm to select the best samples for better nerve network training and thus to improve the results.  The results show that the proposed model can operate with lower prediction error than other models.