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Mixture of MLP-experts for trend forecasting of time series: A case study of the Tehran stock exchange

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  • Ebrahimpour, Reza
  • Nikoo, Hossein
  • Masoudnia, Saeed
  • Yousefi, Mohammad Reza
  • Ghaemi, Mohammad Sajjad

Abstract

A new method for forecasting the trend of time series, based on mixture of MLP experts, is presented. In this paper, three neural network combining methods and an Adaptive Network-Based Fuzzy Inference System (ANFIS) are applied to trend forecasting in the Tehran stock exchange. There are two experiments in this study. In experiment I, the time series data are the Kharg petrochemical company’s daily closing prices on the Tehran stock exchange. In this case study, which considers different schemes for forecasting the trend of the time series, the recognition rates are 75.97%, 77.13% and 81.64% for stacked generalization, modified stacked generalization and ANFIS, respectively. Using the mixture of MLP experts (ME) scheme, the recognition rate is strongly increased to 86.35%. A gain and loss analysis is also used, showing the relative forecasting success of the ME method with and without rejection criteria, compared to a simple buy and hold approach. In experiment II, the time series data are the daily closing prices of 37 companies on the Tehran stock exchange. This experiment is conducted to verify the results of experiment I and to show the efficiency of the ME method compared to stacked generalization, modified stacked generalization and ANFIS.

Suggested Citation

  • Ebrahimpour, Reza & Nikoo, Hossein & Masoudnia, Saeed & Yousefi, Mohammad Reza & Ghaemi, Mohammad Sajjad, 2011. "Mixture of MLP-experts for trend forecasting of time series: A case study of the Tehran stock exchange," International Journal of Forecasting, Elsevier, vol. 27(3), pages 804-816.
    • Handle: RePEc:eee:intfor:v:27:y:2011:i:3:p:804-816
    DOI: 10.1016/j.ijforecast.2010.02.015
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    1. Balkin, Sandy D. & Ord, J. Keith, 2000. "Automatic neural network modeling for univariate time series," International Journal of Forecasting, Elsevier, vol. 16(4), pages 509-515.
    2. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
    3. Tim Hill & Marcus O'Connor & William Remus, 1996. "Neural Network Models for Time Series Forecasts," Management Science, INFORMS, vol. 42(7), pages 1082-1092, July.
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    2. Wang, Jie & Wang, Jun, 2016. "Forecasting energy market indices with recurrent neural networks: Case study of crude oil price fluctuations," Energy, Elsevier, vol. 102(C), pages 365-374.
    3. Tao Xiong & Yukun Bao & Zhongyi Hu, 2014. "Multiple-output support vector regression with a firefly algorithm for interval-valued stock price index forecasting," Papers 1401.1916, arXiv.org.
    4. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
    5. Mergani A. Khairalla & Xu Ning & Nashat T. AL-Jallad & Musaab O. El-Faroug, 2018. "Short-Term Forecasting for Energy Consumption through Stacking Heterogeneous Ensemble Learning Model," Energies, MDPI, vol. 11(6), pages 1-21, June.
    6. Arezoo Hatefi Ghahfarrokhi & Mehrnoush Shamsfard, 2019. "Tehran Stock Exchange Prediction Using Sentiment Analysis of Online Textual Opinions," Papers 1909.03792, arXiv.org, revised Sep 2019.
    7. Arezoo Hatefi Ghahfarrokhi & Mehrnoush Shamsfard, 2020. "Tehran stock exchange prediction using sentiment analysis of online textual opinions," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(1), pages 22-37, January.
    8. Erol Eğrioğlu & Robert Fildes, 2022. "A New Bootstrapped Hybrid Artificial Neural Network Approach for Time Series Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1355-1383, April.

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