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Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm

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  • Alameer, Zakaria
  • Elaziz, Mohamed Abd
  • Ewees, Ahmed A.
  • Ye, Haiwang
  • Jianhua, Zhang

Abstract

Developing an accurate forecasting model for long-term gold price fluctuations plays a vital role in future investments and decisions for mining projects and related companies. Viewed from this perspective, this paper proposes a novel model for accurately forecasting long-term monthly gold price fluctuations. This model uses a recent meta-heuristic method called whale optimization algorithm (WOA) as a trainer to learn the multilayer perceptron neural network (NN). The results of the proposed model are compared to other models, including the classic NN, particle swarm optimization for NN (PSO–NN), genetic algorithm for NN (GA–NN), and grey wolf optimization for NN (GWO–NN). Additionally, we employ ARIMA models as the benchmark for assessing the capacity of the proposed model. Empirical results indicate the superiority of the hybrid WOA–NN model over other models. Moreover, the proposed WOA–NN model demonstrates an improvement in the forecasting accuracy obtained from the classic NN, PSO–NN, GA–NN, GWO–NN, and ARIMA models by 41.25%, 24.19%, 25.40%, 25.40%, and 85.84% decrease in mean square error, respectively.

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  • Alameer, Zakaria & Elaziz, Mohamed Abd & Ewees, Ahmed A. & Ye, Haiwang & Jianhua, Zhang, 2019. "Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm," Resources Policy, Elsevier, vol. 61(C), pages 250-260.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:250-260
    DOI: 10.1016/j.resourpol.2019.02.014
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