Forecasting Stock Market Price using ANN (Case Study: Tehran Exchange Price Index)

The stock market has always been an attractive area for researchers since no method has been found yet to predict the stock price behavior precisely. It carries a higher risk than any other investment area, due to its high rate of uncertainty and volatility, thus making the stock price behavior difficult to forecast. For years, conventional methods have been developed but they have succeeded partially or have completely failed to deal with the nonlinear and complex behavior of stock prices. Artificial neural networks approach is a relatively new, active and promising field on the prediction of stock price behavior. Artificial neural networks (ANNs) are mathematical models simulating the learning and decision making processes of the human brain. Because of their nature of easy adaptation to noisy data, and solving complex and nonlinear problems, they fit into the area of stock price behavior prediction. This study tries to reduce the effect of uncertainty and volatility by modeling the change in stock price direction of stocks, identifying the theory and steps involved in applying ANN in financial markets and developing a software package to be used for predicting directional daily stock price behavior. It also discusses the appropriate ways to use this process in developing trading systems, further discussing the superiority of ANN over traditional methodologies.

کلیدواژه ها:

Artificial Neural Network (ANN) ، TEPIX ، Forecasting ، Stock Price