Comparison of different machine learning models in stock market index forecasting

Subject Areas : Stock Exchange

maryam sohrabi ¹ , Seyed Mozaffar mirbargkar ² , Ebrahim Chirani ³ , SINA KHERADYAR ⁴

1 - Department of Business Management, Rasht Branch, Islamic Azad University, Rasht, Iran.
2 - Department of Business Management, Rasht Branch, Islamic Azad University, Rasht, Iran.
3 - Department of Business Management, Rasht Branch, Islamic Azad University, Rasht, Iran.
4 - Department of Accounting, Rasht Branch, Islamic Azad University, Rasht, Iran.

Received: 2021-11-22 Accepted : 2022-11-27 Published : 2023-09-23

Keywords: Machine Learning, forecasting, Stock market, recurrent neural networks,

Abstract :

Predicting time series of financial markets is a challenging issue in the field of specialized studies of time series and has attracted the attention of many researchers. Due to the presence of big data, this issue has led to the growth of developments in the field of machine learning models. Due to the importance of this issue, in this study, by using the comparison of different machine learning models such as random forest approaches, support vector machine, artificial neural network and deep learning-based recurrent neural networks to investigate the ability of different machine learning models in prediction. The total index of Tehran Stock Exchange during the period 2013 to 2020 has been discussed. The prediction results of 1, 3 and 6 day courses for the out-of-sample period show that the machine learning method based on the long short-term memory (LSTM) network, a recurrent neural networks, has a better result compared to other models.