IDEAS home Printed from https://ideas.repec.org/a/ids/ijidsc/v14y2022i1p39-59.html
   My bibliography  Save this article

Stock price forecasting using hidden Markov model

Author

Listed:
  • Ernest Oseghale Amiens
  • Ifuero Osad Osamwonyi

Abstract

We used hidden Markov model (HMM) with single observation to estimate stock prices of selected manufacturing companies from the Nigerian Stock Exchange. Data from 22 November 2013 to 6 July 2018 were partitioned into two datasets for training and testing. Subsequently, the data were differenced, trained, tested and used to forecast closing prices for 60 days for each equity. The HMM was implemented with Matlab. The research revealed closing price prediction accuracy ranging from 3.33% to 96.67% and trade signal precision ranging from 31.67% to 97.67%. Also, the MAE values range from 0.0013 to 34.2867 while the MAPE values are between 0.1498% and 6.0034%. The hypothesis tested revealed that the model is efficient. Similarly, the comparison test conducted revealed the performance of HMM is better than ARIMA and neural network (NN). The research proposes that hidden Markov model be adopted in the exercise of stock price forecasting.

Suggested Citation

  • Ernest Oseghale Amiens & Ifuero Osad Osamwonyi, 2022. "Stock price forecasting using hidden Markov model," International Journal of Information and Decision Sciences, Inderscience Enterprises Ltd, vol. 14(1), pages 39-59.
    • Handle: RePEc:ids:ijidsc:v:14:y:2022:i:1:p:39-59
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=122721
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijidsc:v:14:y:2022:i:1:p:39-59. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=306 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.