Applications of neural network based methods on stock market prediction: survey
-
2018-03-11 https://doi.org/10.14419/ijet.v7i2.6.10070 -
ANN, Financial Forecasting, Stock Market Prediction. -
Abstract
Financial forecasting is one of the domineering fields of research, where investor’s money is at stake due to the rise or fall of the stock prices which unpredictable and fluctuating. Basically as the demand for stock markets has been rising at an unprecedented rate so its prediction becomes all the more exciting and challenging. Prediction of the forthcoming stock prices mostly Artificial Neural Network (ANN) based models are taken into account. The other models such as Bio-inspired Computing, Fuzzy network model etc., considering statistical measures, technical indicators and fundamental indicators are also explored by the researchers in the field of financial application. Ann’s development has led the investors for hoping the best prediction because networks included great capability of machine learning such as classification and prediction. Most optimization techniques are being used for training the weights of prediction models. Currently, various models of ANN-based stock price prediction have been presented and successfully being carried to many fields of Financial Engineering. This survey aims to study the mostly used ANN and related representations on Stock Market Prediction and make a proportional analysis between them.
-
References
[1] Wanjawa, Barack Wamkaya, and Lawrence Muchemi. "ANN Model to Predict Stock Prices at Stock ExchangeMarkets." arXiv preprint arXiv:1502.06434 (2014).
[2] EsmaeilHadavandi, Hassan Shavandi, ArashGhanbari, "Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting", In Knowledge-Based Systems, Volume 23, Issue 8, 2010, Pages 800-808.https://doi.org/10.1016/j.knosys.2010.05.004.
[3] F. Mithani, S. Machchhar and F. Jasdanwala, "A modified BPN approach for stock market prediction," 2016 IEEE International Conference on Computational Intelligence and Computing Research (ICCIC), Chennai, 2016, pp. 1-4.https://doi.org/10.1109/ICCIC.2016.7919718.
[4] Zhang, Chengzhao, and Heping Pan. "A novel hybrid model based on EMD-BPNN for forecasting US and UK stock indices." In Progress in Informatics and Computing (PIC), 2015 IEEE International Conference on, pp. 113-117. IEEE, 2015.
[5] Patra, Jagdish C., Nguyen C. Thanh, and Pramod K. Meher. "Computationally efficient FLANN-based intelligent stock price prediction system." In Neural Networks, 2009. IJCNN 2009. International Joint Conference on, pp. 2431-2438. IEEE, 2009.https://doi.org/10.1109/IJCNN.2009.5178594.
[6] Dwiti Krishna Bebarta, Birendra Biswal, Ajit Kumar Rout, P. K. Dash, "Forecasting and Classification of Indian Stocks Using Different Polynomial Functional Link Artificial Neural Networks", In India Conference (INDICON), 2012 Annual IEEE, pp. 178-182, IEEE, 2012.
[7] C. Quek, P. Cheng and A. Jain, "Predicting impact of news on stock price: An evaluation of neuro fuzzy systems," 2007 IEEE Congress on Evolutionary Computation, Singapore, 2007, pp. 1226-1233.https://doi.org/10.1109/CEC.2007.4424610.
[8] Hsuan-Ming Feng, Hsiang-Chai Chou, Evolutional RBFNs prediction systems generation in the applications of financial time series data, In Expert Systems with Applications, Volume 38, Issue 7, 2011, Pages 8285-8292, ISSN 0957-4174.
[9] F.Wang, Z. Zhao, X. Li, F. Yu and H. Zhang, "Stock volatility prediction using multi-kernel learning based extreme learning machine," 2014 International Joint Conference on Neural Networks (IJCNN), Beijing, 2014, pp. 3078-3085. https://doi.org/10.1109/IJCNN.2014.6889651.
[10] Rakhi Mahanta, Trilok Nath Pandey, Alok Kumar Jagadev, SatchidanandaDehuri, “Optimized Radial Basis Functional Neural Networkfor Stock Index Predictionâ€, International Conference on Electrical, Electronics, and Optimization Techniques (ICEEOT) – 2016, pp. 1252-1257. IEEE, 2016.https://doi.org/10.1109/ICEEOT.2016.7754884.
[11] Kara, Yakup, MelekAcarBoyacioglu and Omer KaanBaykan, "Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange." Expert systems with Applications 38, no. 5(2011):5311-5319.https://doi.org/10.1016/j.eswa.2010.10.027.
[12] Laboissiere, Ricardo A.S. Fernandes, Guilherme G. Lage, "Maximum and minimum stock price forecasting of Brazilian power distribution companies based on artificial neural networks." Applied Soft Computing (2015):66-74.https://doi.org/10.1016/j.asoc.2015.06.005.
[13] Amin Hedayati Moghaddam, Moein Hedayati Moghaddam, MortezaEsfandyari, "Stock market index prediction using artificial neural network." Journal of Economics, Finance and Administrative Science 21, no. 41(2016): 89-93.https://doi.org/10.1016/j.jefas.2016.07.002.
[14] ErkamGuresen, GulgunKayakutlu, Tugrul U. Daim, "Using artificial neural network models in stock market index prediction." Expert Systems with Applications 38, no. 8(2011): 10389-10397https://doi.org/10.1016/j.eswa.2011.02.068.
[15] Mustafa Gocken, Mehmet Ozcalici, AsliBoru, AyseTugbaDosdogruc, "Integrating metaheuristics and Artificial Neural Networks for improved stock price prediction" Expert Systems with Applications 44 (2016): 320-331.https://doi.org/10.1016/j.eswa.2015.09.029.
[16] Barack WamkayaWanjawa, Lawrence Muchemi, "ANN Model to Predict Stock Prices at Stock Exchange Markets." arXiv preprint arXiv: 1502.06434(2014).
[17] KarnMeesomsarn, RoungsanChaisricharoen, BoonrukChipipop, ThongchaiYooyativong, "Forecasting the Effect of Stock Repurchase via an Artificial Neural Network." In ICCAS-SICE, 2009, pp. 2573-2578. IEEE, 2009.
[18] Tsung-Sheng Chang, "A comparative study of artificial neural networks, and decision trees for digital game content stocks price prediction." Expert Systems with Applications 38, no. 12(2011): 14846-14851.https://doi.org/10.1016/j.eswa.2011.05.063.
[19] Qing Cao, Karyl B. Leggio, Marc J. Schniederjans, "A comparison between Fama and French’s model and artificial neural networks in predicting the Chinese stock market." Computers & Operations Research 32, no. 10(2005), 2499–2512.https://doi.org/10.1016/j.cor.2004.03.015.
[20] Fagner A. de Oliveira, Cristiane N. Nobre, Luis E. Zarate, "Applying Artificial Neural Networks to prediction of stock price and improvement of the directional prediction index – Case study of PETR4, Petrobras, Brazil", Expert Systems with Applications 40, no. 18(2013), 7596–7606.https://doi.org/10.1016/j.eswa.2013.06.071.
[21] Javad Zahedi, Mohammad Mahdi Rounaghi, "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 438(2015), 178-187.https://doi.org/10.1016/j.physa.2015.06.033.
[22] Jonathan L. Ticknor, "A Bayesian regularized artificial neural network for stock market forecasting", Expert Systems with Applications 40, no. 14(2013), 5501–5506.https://doi.org/10.1016/j.eswa.2013.04.013.
[23] Mustafa JahangoshaiRezaee, Mehrdad Jozmaleki, MahsaValipour, "Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange", Physica A: Statistical Mechanics and its Applications, 489 (2018), 78–93.https://doi.org/10.1016/j.physa.2017.07.017.
[24] Jian-Zhou Wang, Ju-Jie Wang, Zhe-George Zhang, Shu-Po Guo, "Forecasting stock indices with back propagation neural network.", Expert Systems with Applications, 38, no: 11(2011),14346–14355.https://doi.org/10.1016/j.eswa.2011.04.222.
[25] Ling-Feng Hsieh, Su-Chen Hsieh, Pei-Hao Tai, "Optimize stock price variation prediction via DOE and BPNN." In Supply Chain Management and Information Systems (SCMIS), 2010 8th International Conference on, pp.1-7. IEEE, 2010.
[26] LI Yizhen, Zeng Wenhua, Lin ling, Wu jun, Lu Gang, "The forecasting of Shanghai Index trend Based on Genetic Algorithm and Back Propagation Artificial Neural Network Algorithm."The 6th International Conferencein Computer Science & Education (ICCSE), pp. 420-424, IEEE, 2011.
[27] Nguyen Lu Dang Khoa, KazutoshiSakakibara, Ikuko Nishikawa, "Stock Price Forecasting using Back Propagation Neural Networks with Time and Profit Based Adjusted Weight Factors", In SICE-ICASE, International Joint Conference, pp.5484-5488. IEEE, 2006.
[28] Chia-Chi Chen, Chun Kuo, Shu-Yu Kuo, Yao-Hsin Chou, "Dynamic normalization BPN for stock price forecasting." In Systems, Man, and Cybernetics (SMC), 2015 IEEE International Conference on, pp. 2855-2860, IEEE, 2015.https://doi.org/10.1109/SMC.2015.497.
[29] Aishwarya D C, C. Narendra Babu, "Prediction Of Time Series Data Using GA-BPNN based Hybrid ANN Model", In Advance Computing Conference (IACC), 2017 IEEE 7th International, pp. 848-853, IEEE, 2017.https://doi.org/10.1109/IACC.2017.0174.
[30] Zhang Yudong, Wu Lenan, "Stock market prediction of S&P 500 via combination of improved BCO approach and BP neural network." Expert Systems with Applications 36, no. 5 (2009), 8849–8854.https://doi.org/10.1016/j.eswa.2008.11.028.
[31] Soumya Das, Abhimanyu Patra, Sarojananda Mishra, Manas Ranjan Senapati, “A self-adaptive fuzzy-based optimized functional link artificial neural network model for financial time series predictionâ€, International Journal of Business Forecasting and Marketing Intelligence 2, no. 1 (2015): 55-77.https://doi.org/10.1504/IJBFMI.2015.075358.
[32] Ritanjali Majhi, G. Panda, G. Sahoo, "Development and performance evaluation of FLANN based model for forecasting of stock markets", Expert Systems with Applications 36 (2009), 6800–6808.https://doi.org/10.1016/j.eswa.2008.08.008.
[33] C.M. Anish, Babita Majhi, "Hybrid nonlinear adaptive scheme for stock market prediction using feedback FLANN and factor analysis.", Journal of the Korean Statistical Society 45 (2016), 64–76.https://doi.org/10.1016/j.jkss.2015.07.002.
[34] C. M. Anish1, Babita Majhi, “Net Asset Value Prediction using FLANN Model.â€, International Journal of Science and Research (IJSR) 4, no. 2(2015): 2222-2227.
[35] Rout, Ajit Kumar, R. Bisoi, and P. K. Dash. "A low complexity evolutionary computationally efficient recurrent Functional link Neural Network for time series forecasting." In Power, Communication and Information Technology Conference (PCITC), 2015 IEEE, pp. 576-582. IEEE, 2015.
[36] Puspanjali Mohapatra, Alok Raj, “Indian Stock Market Prediction Using Differential Evolutionary Neural Network Modelâ€, International Journal of Electronics Communication and Computer Technology (IJECCT), Volume 2 Issue 4 (2012).
[37] Huang, Guang-Bin, Zuo Bai, and LiyanaarachchiLekamalage Chamara Kasun, and Chi Man V ong (2015). "Local Receptive Fields Based Extreme Learning Machine.†IEEE Computational Intelligence Magazine. 10: 18–29.https://doi.org/10.1109/MCI.2015.2405316.
[38] Tang, Jiexiong, Chenwei Deng, and Guang-Bin Huang (2016)."Extreme Learning Machine for Multilayer Perceptron." IEEE Transactions on Neural Networks and Learning Systems. 27: 809–821.https://doi.org/10.1109/TNNLS.2015.2424995.
[39] Zhu, W.; Miao, J.; Qing, L.; Huang, G. B. (2015-07-01). "Hierarchical Extreme Learning Machine for unsupervised representation learning.†2015 International Joint Conference on Neural Networks (IJCNN): 1–8.
[40] M. Gocken, A. Boru, A. T. Dosdogru and M. Ozcalici, "Hybridizing extreme learning machine and bio-inspired computing approaches for improved stock market forecasting," 2017 International Artificial Intelligence and Data Processing Symposium (IDAP), Malatya, 2017, pp. 1-6.
[41] A. S. Ravi, A. Sarvesh and K. George, "Sequential ELM for financial markets," 2016 Second International Conference on Cognitive Computing and Information Processing (CCIP), Mysore, 2016, pp. 1-6.https://doi.org/10.1109/IJCNN.2015.7280721.
[42] R. C. Cavalcante and A. L. I. Oliveira, "An autonomous trader agent for the stock market based on online sequential extreme learning machine ensemble," 2014 International Joint Conference on Neural Networks (IJCNN), Beijing, 2014, pp. 1424-1431.
[43] R. C. Cavalcante and A. L. I. Oliveira, "An approach to handle concept drift in financial time series based on Extreme Learning Machines and explicit Drift Detection," 2015 International Joint Conference on Neural Networks (IJCNN), Killarney, 2015, pp. 1-8.
[44] Xinying Wang, Min Han, Online sequential extreme learning machine with kernels for nonstationary time series prediction, In Neurocomputing, Volume 145, 2014, Pages 90-97.https://doi.org/10.1016/j.neucom.2014.05.068.
[45] Smruti Rekha Das, Debahuti Mishra, Minakhi Rout, A hybridized ELM-Jaya forecasting model for currency exchange prediction, In Journal of King Saud University - Computer and Information Sciences, 2017, ISSN 1319-1578.
[46] JingmingXue, SiHang Zhou, Qiang Liu, Xinwang Liu, Jianping Yin, “Financial time series prediction using â„“2,1RF-ELMâ€, In Neurocomputing, 2017, ISSN 0925-2312.
[47] F. Wang, Y. Zhang, H. Xiao, L. Kuang and Y. Lai, "Enhancing Stock Price Prediction with a Hybrid Approach Based Extreme Learning Machine," 2015 IEEE International Conference on Data Mining Workshop (ICDMW), Atlantic City, NJ, 2015, pp. 1568-1575.https://doi.org/10.1109/ICDMW.2015.74.
[48] NargessHosseinioun, “Forecasting Outlier Occurrence in Stock Market Time Series Based on WaveletTransform and Adaptive ELM Algorithmâ€, Journal of Mathematical Finance, 2016, 6, 127-133.https://doi.org/10.4236/jmf.2016.61013.
[49] Alexander Grigorievskiy, YoanMiche, Anne-Mari Ventela, Eric Severin, AmauryLendasse, “Long-term time series prediction using OP-ELMâ€, Neural Networks 51 (2014) 50–56.https://doi.org/10.1016/j.neunet.2013.12.002.
[50] Fang Zhijun; Zhao Jing; Fei Fengchang; Wang Qiangying; He Xin, "An approach based on multi-feature wavelet and ELM algorithm for forecasting outlier occurrence in Chinese stock market." Journal of Theoretical & Applied Information Technology 49, no. 1 (2013).
[51] Simon Haykin, “Neural Networks: A Comprehensive Foundationâ€, 2nd Ed., Pearson publication.
[52] Y. F. Sun, Y. C. Liang, W. L. Zhang, H. P. Lee, W. Z. Lin, L. J. Cao, “Optimal partition algorithm of the RBF neural networkand its application to financial time series forecastingâ€, Neural Computation& Application (2005) 14: 36–44https://doi.org/10.1007/s00521-004-0439-7.
[53] C. Quek, P. Cheng, A. Jain, “Predicting Impact of News on Stock Price: An Evaluation of Neuro Fuzzy Systemsâ€, IEEE Congress on Evolutionary Computation, CEC 2007, pp.1226-1233, IEEE 2007.https://doi.org/10.1109/CEC.2007.4424610.
[54] Hsuan-Ming Feng, Hsiang-Chai Chou, “Evolutional RBFNs prediction systems generation in the applicationsof financial time series dataâ€, Expert Systems with Applications, Vol. 38 (2011), 8285–8292.https://doi.org/10.1016/j.eswa.2011.01.009.
[55] Minakhi Rout, Babita Majhi, Usha Manasi Mohapatra,RosalinMahapatra,“Stock Indices Prediction Using Radial Basis Function Neural Network,â€Swarm,Evolutionary, and Memetic Computing, pp. 285-293,2012.
[56] Wei Shen, XiaopenGuoa, Chao Wub,DeshengWuc ,“Forecasting Stockindices using radial basis function neural networks optimized byartificial fish swarm algorithm,†Knowledge-Based Systems,vol.24( 3),pp. 378–385, 2011.https://doi.org/10.1016/j.knosys.2010.11.001.
-
Downloads
-
How to Cite
Mohapatra, A., Rekha Das, S., Das, K., & Mishra, D. (2018). Applications of neural network based methods on stock market prediction: survey. International Journal of Engineering & Technology, 7(2.6), 71-76. https://doi.org/10.14419/ijet.v7i2.6.10070Received date: 2018-03-11
Accepted date: 2018-03-11
Published date: 2018-03-11