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An Artificial Neural Network for Data Forecasting Purposes

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  • Catalina Lucia COCIANU
  • Hakob GRIGORYAN

Abstract

Considering the fact that markets are generally influenced by different external factors, the stock market prediction is one of the most difficult tasks of time series analysis. The research reported in this paper aims to investigate the potential of artificial neural networks (ANN) in solving the forecast task in the most general case, when the time series are non-stationary. We used a feed-forward neural architecture: the nonlinear autoregressive network with exogenous inputs. The network training function used to update the weight and bias parameters corresponds to gradient descent with adaptive learning rate variant of the backpropagation algorithm. The results obtained using this technique are compared with the ones resulted from some ARIMA models. We used the mean square error (MSE) measure to evaluate the performances of these two models. The comparative analysis leads to the conclusion that the proposed model can be successfully applied to forecast the financial data.

Suggested Citation

  • Catalina Lucia COCIANU & Hakob GRIGORYAN, 2015. "An Artificial Neural Network for Data Forecasting Purposes," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 19(2), pages 34-45.
    • Handle: RePEc:aes:infoec:v:19:y:2015:i:2:p:34-45
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    References listed on IDEAS

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    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Giordano, Francesco & La Rocca, Michele & Perna, Cira, 2007. "Forecasting nonlinear time series with neural network sieve bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3871-3884, May.
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    Cited by:

    1. Dhruhi Sheth & Manan Shah, 2023. "Predicting stock market using machine learning: best and accurate way to know future stock prices," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 14(1), pages 1-18, February.
    2. Hakob GRIGORYAN, 2016. "A Stock Market Prediction Method Based on Support Vector Machines (SVM) and Independent Component Analysis (ICA)," Database Systems Journal, Academy of Economic Studies - Bucharest, Romania, vol. 7(1), pages 12-21, August.
    3. Mahboubeh Faghih Mohammadi Jalali & Hanif Heidari, 2020. "Predicting changes in Bitcoin price using grey system theory," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-12, December.
    4. Elena-Adriana MINASTIREANU & Gabriela MESNITA, 2019. "An Analysis of the Most Used Machine Learning Algorithms for Online Fraud Detection," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 23(1), pages 5-16.

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