Comparative study of static and dynamic neural network models for nonlinear time series forecasting
AbstractDuring the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis different types of these models have been used in forecasting. Now, there is this question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison between static and dynamic neural network models in forecasting the return of Tehran Stock Exchange (TSE) index in order to find the best model to be used for forecasting this series (as a nonlinear financial time series). The data were collected daily from 25/3/2009 to 22/10/2011. The models examined in this study included two static models (Adaptive Neuro-Fuzzy Inference Systems or ANFIS and Multi-layer Feed-forward Neural Network or MFNN) and a dynamic model (nonlinear neural network autoregressive model or NNAR). The findings showed that based on the Mean Square Error and Root Mean Square Error criteria, ANFIS model had a much higher forecasting ability compared to other models.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 46466.
Date of creation: 12 Oct 2012
Date of revision:
Forecasting; Stock Market; dynamic Neural Network; Static Neural Network.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-ETS-2013-04-27 (Econometric Time Series)
- NEP-FOR-2013-04-27 (Forecasting)
- NEP-ORE-2013-04-27 (Operations Research)
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