Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market
The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is impo...
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| Format: | Article |
| Language: | English |
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Allameh Tabataba'i University Press
2022-07-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_14570_caf5f73e4149b3f255a57050cf6199ea.pdf |
| _version_ | 1797796005663473664 |
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| author | Abdulrashid Jamnia Mohammad Reza Sasouli Emambakhsh Heidouzahi Mohsen Dahmarde Ghaleno |
| author_facet | Abdulrashid Jamnia Mohammad Reza Sasouli Emambakhsh Heidouzahi Mohsen Dahmarde Ghaleno |
| author_sort | Abdulrashid Jamnia |
| collection | DOAJ |
| description | The capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is important for finance practitioners and policy-makers. Therefore, in this research, a comparative investigation was presented on two superior deep-learning-based models, including long short-term memory (LSTM), and convolutional neural network long short-term memory (CNN)-LSTM, applied for analysing prediction of the total stock price index of Tehran stock exchange (TSE) market. The complete dataset utilized in the current analysis covered the period from September 23, 2011 to June 22, 2021 with a total of 3,739 trading days in the TSE market. Forecasting accuracy and performance of the two proposed models were appraised using root mean square error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE) criteria. Based on the results, the CNN-LSTM showed the lowest values of the aforementioned metrics compared to the LSTM model, and it was found that the CNN-LSTM model could be effective in providing the best prediction performance of the total stock price index on the TSE market. Eventually, graphically and numerically, various prediction results obtained from the proposed models were analysed for more comprehensive analysis. |
| first_indexed | 2024-03-13T03:26:37Z |
| format | Article |
| id | doaj.art-b56608ee6de54905bfe8226bb51b9b9d |
| institution | Directory Open Access Journal |
| issn | 2783-0578 2783-056X |
| language | English |
| last_indexed | 2024-03-13T03:26:37Z |
| publishDate | 2022-07-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Mathematics and Modeling in Finance |
| spelling | doaj.art-b56608ee6de54905bfe8226bb51b9b9d2023-06-25T07:59:43ZengAllameh Tabataba'i University PressMathematics and Modeling in Finance2783-05782783-056X2022-07-012115116610.22054/jmmf.2022.1457014570Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock MarketAbdulrashid Jamnia0Mohammad Reza Sasouli1Emambakhsh Heidouzahi2Mohsen Dahmarde Ghaleno3Department of Economics, Higher Education Complex of Saravan, Saravan, Sistan and Baluchestan province (IRAN)Department of Economics, Higher Education Complex of Saravan, (Saravan, Sistan and Baluchestan province), IRANDepartment of Economics, Higher Education Complex of Saravan, (Saravan, Sistan and Baluchestan province), IRANDepartment of Accounting, Higher Education Complex of Saravan, Saravan, (Saravan, Sistan and Baluchestan province), IRANThe capital or stock market along with the money market is one of the most important parts of financial sector of the nation’s economy, providing long-term financing required for efficient production and service activities. The total stock price index as reflector of stock market fluctuation is important for finance practitioners and policy-makers. Therefore, in this research, a comparative investigation was presented on two superior deep-learning-based models, including long short-term memory (LSTM), and convolutional neural network long short-term memory (CNN)-LSTM, applied for analysing prediction of the total stock price index of Tehran stock exchange (TSE) market. The complete dataset utilized in the current analysis covered the period from September 23, 2011 to June 22, 2021 with a total of 3,739 trading days in the TSE market. Forecasting accuracy and performance of the two proposed models were appraised using root mean square error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE) criteria. Based on the results, the CNN-LSTM showed the lowest values of the aforementioned metrics compared to the LSTM model, and it was found that the CNN-LSTM model could be effective in providing the best prediction performance of the total stock price index on the TSE market. Eventually, graphically and numerically, various prediction results obtained from the proposed models were analysed for more comprehensive analysis.https://jmmf.atu.ac.ir/article_14570_caf5f73e4149b3f255a57050cf6199ea.pdflstmcnn-lstmstock marketprediction |
| spellingShingle | Abdulrashid Jamnia Mohammad Reza Sasouli Emambakhsh Heidouzahi Mohsen Dahmarde Ghaleno Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market Mathematics and Modeling in Finance lstm cnn-lstm stock market prediction |
| title | Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market |
| title_full | Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market |
| title_fullStr | Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market |
| title_full_unstemmed | Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market |
| title_short | Application of Deep-Learning-Based Models for Prediction of Stock Price in the Iranian Stock Market |
| title_sort | application of deep learning based models for prediction of stock price in the iranian stock market |
| topic | lstm cnn-lstm stock market prediction |
| url | https://jmmf.atu.ac.ir/article_14570_caf5f73e4149b3f255a57050cf6199ea.pdf |
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