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Application of artificial neural network models and principal component analysis method in predicting stock prices on Tehran Stock Exchange

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  • Zahedi, Javad
  • Rounaghi, Mohammad Mahdi

Abstract

Stock price changes are receiving the increasing attention of investors, especially those who have long-term aims. The present study intends to assess the predictability of prices on Tehran Stock Exchange through the application of artificial neural network models and principal component analysis method and using 20 accounting variables. Finally, goodness of fit for principal component analysis has been determined through real values, and the effective factors in Tehran Stock Exchange prices have been accurately predicted and modeled in the form of a new pattern consisting of all variables.

Suggested Citation

  • Zahedi, Javad & Rounaghi, Mohammad Mahdi, 2015. "Application of artificial neural network models and principal component analysis method in predicting stock prices on Tehran Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 178-187.
    • Handle: RePEc:eee:phsmap:v:438:y:2015:i:c:p:178-187
    DOI: 10.1016/j.physa.2015.06.033
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