Stock index forecasting based on a hybrid model
AbstractForecasting the stock market price index is a challenging task. The exponential smoothing model (ESM), autoregressive integrated moving average model (ARIMA), and the back propagation neural network (BPNN) can be used to make forecasts based on time series. In this paper, a hybrid approach combining ESM, ARIMA, and BPNN is proposed to be the most advantageous of all three models. The weight of the proposed hybrid model (PHM) is determined by genetic algorithm (GA). The closing of the Shenzhen Integrated Index (SZII) and opening of the Dow Jones Industrial Average Index (DJIAI) are used as illustrative examples to evaluate the performances of the PHM. Numerical results show that the proposed model outperforms all traditional models, including ESM, ARIMA, BPNN, the equal weight hybrid model (EWH), and the random walk model (RWM).
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Bibliographic InfoArticle provided by Elsevier in its journal Omega.
Volume (Year): 40 (2012)
Issue (Month): 6 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/375/description#description
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- Doyle, John R. & Chen, Catherine H., 2013. "Patterns in stock market movements tested as random number generators," European Journal of Operational Research, Elsevier, vol. 227(1), pages 122-132.
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