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Modifying Hidden Layer in Neural Network Models to Improve Prediction Accuracy: A Combined Model for Estimating Stock Price

Abbas Mahmoudabadi, Mehdi Kanaani, Fatemeh Pourhossein Ghazimahalleh

Abstract


Investment experts, who deal with stock price estimation, commonly look for the most accurate and appropriate statistical techniques to make decisions on investment. The aim of this study is to improve the accuracy of stock price prediction models through modifying the structure of a combined neural network model with time-series data, in which the main contribution is to insert the time-series analysis prediction into the hidden layer of the neural network. The proposed structure is made up of neural networks and time-series analysis, with variable reduction used to remove attributes with inter-correlations. Data has been collected over six years (72 months) from the Iranian stock market, including the number of trades, new-coin price, gold-18 price, US Dollar and Euro equivalent currencies, oil-index price, Brent-oil price, industry index, and balanced stock index, followed by developing the prediction models. Comparing the performance criteria of the proposed structure to the traditional ones in terms of the mean square and mean absolute errors revealed that inserting time-series estimated variables into hidden layers would improve the performance of neural network models to estimate stock prices for making investment decisions.

 

Doi: 10.28991/HIJ-2022-03-01-05

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Keywords


Artificial Neural Network; Stock Price Estimation; Time-Series Data Analysis; Combined Prediction Modeling.

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DOI: 10.28991/HIJ-2022-03-01-05

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