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A Novel Hybrid Model for Stock Price Forecasting Based on Metaheuristics and Support Vector Machine

Author

Listed:
  • Mojtaba Sedighi

    (Department of Finance, Qom Branch, Islamic Azad University, Qom 3749113191, Iran
    Young Researchers and Elite Club, Qom Branch, Islamic Azad University, Qom 88447678, Iran)

  • Hossein Jahangirnia

    (Department of Accounting, Qom Branch, Islamic Azad University, Qom 3749113191, Iran)

  • Mohsen Gharakhani

    (Department of Finance, Iranian Institute of Higher Education, Tehran 13445353, Iran)

  • Saeed Farahani Fard

    (Department of Management and Economics, University of Qom, Qom 3716146611, Iran)

Abstract

This paper intends to present a new model for the accurate forecast of the stock’s future price. Stock price forecasting is one of the most complicated issues in view of the high fluctuation of the stock exchange and also it is a key issue for traders and investors. Many predicting models were upgraded by academy investigators to predict stock price. Despite this, after reviewing the past research, there are several negative aspects in the previous approaches, namely: (1) stringent statistical hypotheses are essential; (2) human interventions take part in predicting process; and (3) an appropriate range is complex to be discovered. Due to the problems mentioned, we plan to provide a new integrated approach based on Artificial Bee Colony (ABC), Adaptive Neuro-Fuzzy Inference System (ANFIS), and Support Vector Machine (SVM). ABC is employed to optimize the technical indicators for forecasting instruments. To achieve a more precise approach, ANFIS has been applied to predict long-run price fluctuations of the stocks. SVM was applied to create the nexus between the stock price and technical indicator and to further decrease the forecasting errors of the presented model, whose performance is examined by five criteria. The comparative outcomes, obtained by running on datasets taken from 50 largest companies of the U.S. Stock Exchange from 2008 to 2018, have clearly demonstrated that the suggested approach outperforms the other methods in accuracy and quality. The findings proved that our model is a successful instrument in stock price forecasting and will assist traders and investors to identify stock price trends, as well as it is an innovation in algorithmic trading.

Suggested Citation

  • Mojtaba Sedighi & Hossein Jahangirnia & Mohsen Gharakhani & Saeed Farahani Fard, 2019. "A Novel Hybrid Model for Stock Price Forecasting Based on Metaheuristics and Support Vector Machine," Data, MDPI, vol. 4(2), pages 1-28, May.
    • Handle: RePEc:gam:jdataj:v:4:y:2019:i:2:p:75-:d:233289
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    References listed on IDEAS

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    Cited by:

    1. Hitesh Punjabi & Kumar Chandar S., 2021. "Efficient Prediction of Stock Price Using Artificial Neural Network Optimized Using Biogeography-Based Optimization Algorithm," International Journal of Web-Based Learning and Teaching Technologies (IJWLTT), IGI Global Scientific Publishing, vol. 17(7), pages 1-14, November.
    2. Yugo Fujimoto & Kei Nakagawa & Kentaro Imajo & Kentaro Minami, 2022. "Uncertainty Aware Trader-Company Method: Interpretable Stock Price Prediction Capturing Uncertainty," Papers 2210.17030, arXiv.org, revised Nov 2022.
    3. Satya Verma & Satya Prakash Sahu & Tirath Prasad Sahu, 2024. "Two-Stage Hybrid Feature Selection Approach Using Levy’s Flight Based Chicken Swarm Optimization for Stock Market Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2193-2224, June.
    4. Jasleen Kaur & Khushdeep Dharni, 2022. "Application and performance of data mining techniques in stock market: A review," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(4), pages 219-241, October.
    5. Srivinay & B. C. Manujakshi & Mohan Govindsa Kabadi & Nagaraj Naik, 2022. "A Hybrid Stock Price Prediction Model Based on PRE and Deep Neural Network," Data, MDPI, vol. 7(5), pages 1-11, April.
    6. Ghaemi Asl, Mahdi & Adekoya, Oluwasegun Babatunde & Rashidi, Muhammad Mahdi & Oliyide, Johnson Ayobami & Rajab, Sahel, 2024. "A new approach to forecasting Islamic and conventional oil and gas stock prices," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    7. Narongsak Sukma & Chakkrit Snae Namahoot, 2025. "Enhancing Trading Strategies: A Multi-indicator Analysis for Profitable Algorithmic Trading," Computational Economics, Springer;Society for Computational Economics, vol. 65(6), pages 3807-3840, June.
    8. Fateme Shahabi Nejad & Mohammad Mehdi Ebadzadeh, 2023. "Stock market forecasting using DRAGAN and feature matching," Papers 2301.05693, arXiv.org.
    9. Van-Truc Vo & Bor-Shen Lin, 2026. "A Novel Bayesian Model Enhanced with Heuristic Likelihood Estimation for the Prediction of Stock Price Trend," Computational Economics, Springer;Society for Computational Economics, vol. 67(2), pages 757-780, February.

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