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A case study of Gulf Securities Market in the last 20 years: A Long Short‐Term Memory approach

Author

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  • Abhibasu Sen
  • Karabi Dutta Choudhury

Abstract

Various researches have been conducted on forecasting stock prices. Several tools ranging from statistical techniques to quantitative methods have been used by researchers to forecast the market. But so far, very little research has been done on forecasting the stock markets of the Gulf countries such as Saudi Arabia, United Arab Emirates, Oman, Kuwait, Bahrain, and Qatar. Our approach is to predict the market indices of the Gulf countries using Long Short‐Term Memory (LSTM) techniques. Thereafter, we optimized the hyperparameters of the LSTM technique using various optimization methods such as Grid Search and Bayesian Optimization with Gaussian Process and found out the best‐suited hyperparameter for the LSTM model. We tried the LSTM method for predicting the indices using data from the last twenty years.

Suggested Citation

  • Abhibasu Sen & Karabi Dutta Choudhury, 2024. "A case study of Gulf Securities Market in the last 20 years: A Long Short‐Term Memory approach," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 78(1), pages 136-166, February.
    • Handle: RePEc:bla:stanee:v:78:y:2024:i:1:p:136-166
    DOI: 10.1111/stan.12309
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    References listed on IDEAS

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    1. Hassan Oukhouya & Aziz Lmakri & Mohamed El Yahyaoui & Raby Guerbaz & Said El Melhaoui & Moustapha Faizi & Khalid El Himdi, 2025. "Predictive modeling for the Moroccan financial market: a nonlinear time series and deep learning approach," Future Business Journal, Springer, vol. 11(1), pages 1-19, December.

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