scholarly journals Stock Market Modeling Using Artificial Neural Network and Comparison with Classical Linear Models

2021 ◽  
Vol 17 (4) ◽  
pp. 89-102
Author(s):  
Zahra Pashaei ◽  
Rahim Dehkharghani ◽  
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2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Himanshu Goel ◽  
Narinder Pal Singh

Purpose Artificial neural network (ANN) is a powerful technique to forecast the time series data such as the stock market. Therefore, this study aims to predict the Indian stock market closing price using ANNs. Design/methodology/approach The input variables identified from the literature are some macroeconomic variables and a global stock market factor. The study uses an ANN with Scaled Conjugate Gradient Algorithm (SCG) to forecast the Bombay Stock Exchange (BSE) Sensex. Findings The empirical findings reveal that the ANN model is able to achieve 93% accuracy in predicting the BSE Sensex closing prices. Moreover, the results indicate that the Morgan Stanley Capital International world index is the most important variable and the index of industrial production is the least important in predicting Sensex. Research limitations/implications The findings of the study have implications for the investors of all categories such as foreign institutional investors, domestic institutional investors and investment houses. Originality/value The novelty of this study lies in the fact that there are hardly any studies that use ANN to forecast the Indian stock market using macroeconomic indicators.


2019 ◽  
Vol 13 (9) ◽  
pp. 532-543
Author(s):  
Ameen Ahmed Oloduowo ◽  
Fashoto Stephen Gbenga ◽  
Ogeh Clement ◽  
Balogun Abdullateef ◽  
Mashwama Petros

2019 ◽  
Vol 11 (4) ◽  
pp. 1 ◽  
Author(s):  
Tobias de Taillez ◽  
Florian Denk ◽  
Bojana Mirkovic ◽  
Birger Kollmeier ◽  
Bernd T. Meyer

Diferent linear models have been proposed to establish a link between an auditory stimulus and the neurophysiological response obtained through electroencephalography (EEG). We investigate if non-linear mappings can be modeled with deep neural networks trained on continuous speech envelopes and EEG data obtained in an auditory attention two-speaker scenario. An artificial neural network was trained to predict the EEG response related to the attended and unattended speech envelopes. After training, the properties of the DNN-based model are analyzed by measuring the transfer function between input envelopes and predicted EEG signals by using click-like stimuli and frequency sweeps as input patterns. Using sweep responses allows to separate the linear and nonlinear response components also with respect to attention. The responses from the model trained on normal speech resemble event-related potentials despite the fact that the DNN was not trained to reproduce such patterns. These responses are modulated by attention, since we obtain significantly lower amplitudes at latencies of 110 ms, 170 ms and 300 ms after stimulus presentation for unattended processing in contrast to the attended. The comparison of linear and nonlinear components indicates that the largest contribution arises from linear processing (75%), while the remaining 25% are attributed to nonlinear processes in the model. Further, a spectral analysis showed a stronger 5 Hz component in modeled EEG for attended in contrast to unattended predictions. The results indicate that the artificial neural network produces responses consistent with recent findings and presents a new approach for quantifying the model properties.


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