Presenting an Explanatory Model of Stock Price Using Deep Learning Algorithm
Subject Areas : Financial MathematicsMojtaba Bavaghar Zaeimi 1 , Gholamreza Zomorodian 2 * , Mehrzad Minooee 3 , Amirreza Keyghobadi 4
1 - Department of Finance ,Central Tehran Branch , Islamic Azad University, Tehran,Iran
2 - Department of Business Management, Central Tehran Branch , Islamic Azad University, Tehran, Iran.
3 - Department of Industrial Management ,Islamic Azad University, Central Tehran Branch, Tehran, Iran
4 - Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
Keywords: Stock Price , Learning Algorithm , Prediction ,
Abstract :
This study aimed to present an explanatory model of stock price using deep learning algorithm for companies listed in the Tehran Stock Exchange. In this study, a deep learning network was used to predict stock prices. The study was applied-developmental research in terms of purpose. To test the research questions, accounting data were prepared from 2011 to 2020 and input variables were calculated based on it for the model. The method of systematic elimination sampling has been used in this study. The results indicated that the precisions of prediction has a high precisions in the deep learning model. The proposed algorithm was reviewed according to its prediction accuracy and modeling cost. According to the data volume, it was found that the prediction accuracy in the deep learning model has a relative superiority and the diagram of performance characteristic and AUC criteria also showed this superiority in detection power.
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