Tehran Stock Exchange Index Forecasting Using Approach Adaptive Neural-Fuzzy Inference System and Imperialist Competitive Algorithm

Salehi, Mojtaba; Garshasbi, Fatemeh

doi:10.22054/ims.2019.10374

Document Type : Research Paper

Authors

Mojtaba Salehi ¹
Fatemeh Garshasbi ²

¹ Faculty Member, Department of Industrial Engineering, Faculty of Engineering, Payame Noor University,Tehran (Corresponding Author: m_salehi61@yahoo.com)

² MSc, Industrial Engineering, Faculty of Industrial Engineering, K.N. Toosi University of Technology ,Tehran

https://doi.org/10.22054/ims.2019.10374

Abstract

vStock market has been one of the most influential economic phenomena in the world for many years. The main players in the stock market are investors that are always looking to make the most profit. Since prices of stock market transactions is Impressionable from political, economic, social problems and the high volatility of prices, the prediction of stock market is very difficult. The main solution for more profits in the market is making the right decisions about buying and selling appropriate stocks in appropriate time. Therefore, prediction is the most important requirements for traders. I this research, a new hybrid algorithm is proposed that uses imperialist competitive algorithm as a feature selection method and fuzzy adaptive neural inference system as a prediction function. This approach uses 63 features that affect the stock market, including economic features, Iran and other countries stock market indexes, technical analysis indexes and Japanese Candlestick on a daily basis in the period from 2010-2016. The Exchange Stock Index for the next day is considered as the target variable. The results show that the hybrid model includes Adaptive Neural Fuzzy Inference System (ANFIS) and Imperialist Competitive Algorithm, is much appropriate. This model is compared with a single ANFIS model has better approximation speed and the ability to predict the sto

Keywords

References

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Business Intelligence Management Studies

Tehran Stock Exchange Index Forecasting Using Approach Adaptive Neural-Fuzzy Inference System and Imperialist Competitive Algorithm

References

References

Volume 8, Issue 29 - Serial Number 29
November 2019
Pages 5-34

Tehran Stock Exchange Index Forecasting Using Approach Adaptive Neural-Fuzzy Inference System and Imperialist Competitive Algorithm

References

References

Volume 8, Issue 29 - Serial Number 29November 2019Pages 5-34

Volume 8, Issue 29 - Serial Number 29
November 2019
Pages 5-34