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:: Volume 9, Issue 4 (Fall 2014) ::
J. Mon. Ec. 2014, 9(4): 107-127 Back to browse issues page
Stock Price Forecasting
Mehdi Salehi *
Department of Accounting, Ferdowsi University of Mashhad
Abstract:   (1809 Views)

The especial importance of capital market in countries is undeniable in economic development via effective capital conduct and optimum resources allocation. Investment in capital market requires decision making in new stock exchanges, and   accessing information in the case of future status of capital market. Undoubtedly, nowadays most part of capital is exchanged via stock exchange all around the world. National economies are extremely affected by the performance of stock market, high talent and unknown factors affecting stock market, and this causes unreliability in investment. It is clear that unreliable assets are inappropriate and in other side, for those investors who select stock market as a place to invest this asset is inevitable; thus, naturally all investors struggle to reduce unreliability. The present study compares four different models of predicting stock price, namely, Perceptron network, Fuzzy neural network, CART, Decision tree, and Support vector regression in Iran stock market during 2008 - 2012. Research sample includes 81 firms listed on the Tehran Stock Exchange (TSE). The findings compared in the case of five indicates show that for predicting stock price, using CART decision tree, has lower error than other ones.

JEL Classifications: C10, C13, C18

Keywords: Perceptron network, Fuzzy neural network, CART decision tree, Support vector regression.
Full-Text [PDF 433 kb]   (782 Downloads)    
Type of Study: Applicable | Subject: Monetary Economics
Received: 2016/10/22 | Accepted: 2016/10/22 | Published: 2016/10/22
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Salehi M. Stock Price Forecasting . J. Mon. Ec.. 2014; 9 (4) :107-127
URL: http://jme.mbri.ac.ir/article-1-186-en.html

Volume 9, Issue 4 (Fall 2014) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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