A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia
Commerce; Costs; Electronic trading; Financial markets; Investments; Commodity exchange; Commodity prices; Day-ahead; Exchange rates; Input variables; Model prediction; NARX; Neural-networks; Prediction performance; Stock market; Forecasting
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Institute of Electrical and Electronics Engineers Inc.
2023
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my.uniten.dspace-259992023-05-29T17:05:58Z A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia Dhafer A.H. Nor F.M. Hashim W. Shah N.R. Bin Khairi K.F. Alkawsi G. 57336725300 17135907800 11440260100 57337149600 57337149700 57191982354 Commerce; Costs; Electronic trading; Financial markets; Investments; Commodity exchange; Commodity prices; Day-ahead; Exchange rates; Input variables; Model prediction; NARX; Neural-networks; Prediction performance; Stock market; Forecasting Stock price prediction is one of the most challenging tasks confronting investors in the stock market. Academics and practitioners have examined a variety of techniques for predicting stock price movement. Artificial intelligence models have attracted many researchers interested in financial forecasting in the stock market. This paper investigates the use of commodity prices and exchange rates to predict the KLCI index price one day ahead using the NARX-ANN model. The methodology employs various experiments on the sample dataset using various exogenous variables and neural training algorithms. The model's prediction performance using four input variables (three commodity prices and the exchange rate) is compared with the model's prediction performance when only the KLCI price data with price lags is used as input variables. The model's performance shows promising results in terms of error rate and hit rate. However, using commodity prices and exchange rate combinations did not improve the model's short-term next-day prediction of the KLCI price. � 2021 IEEE. Final 2023-05-29T09:05:58Z 2023-05-29T09:05:58Z 2021 Conference Paper 10.1109/AiDAS53897.2021.9574394 2-s2.0-85118973744 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85118973744&doi=10.1109%2fAiDAS53897.2021.9574394&partnerID=40&md5=db4244d247d110c08e378740f02ad3bf https://irepository.uniten.edu.my/handle/123456789/25999 Institute of Electrical and Electronics Engineers Inc. Scopus |
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| description |
Commerce; Costs; Electronic trading; Financial markets; Investments; Commodity exchange; Commodity prices; Day-ahead; Exchange rates; Input variables; Model prediction; NARX; Neural-networks; Prediction performance; Stock market; Forecasting |
| author2 |
57336725300 |
| author_facet |
57336725300 Dhafer A.H. Nor F.M. Hashim W. Shah N.R. Bin Khairi K.F. Alkawsi G. |
| format |
Conference Paper |
| author |
Dhafer A.H. Nor F.M. Hashim W. Shah N.R. Bin Khairi K.F. Alkawsi G. |
| spellingShingle |
Dhafer A.H. Nor F.M. Hashim W. Shah N.R. Bin Khairi K.F. Alkawsi G. A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| author_sort |
Dhafer A.H. |
| title |
A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| title_short |
A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| title_full |
A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| title_fullStr |
A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| title_full_unstemmed |
A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia |
| title_sort |
narx neural network model to predict one-day ahead movement of the stock market index of malaysia |
| publisher |
Institute of Electrical and Electronics Engineers Inc. |
| publishDate |
2023 |
| _version_ |
1806427297464451072 |
| score |
13.222552 |