Presenting a new hybrid method for predicting the Stock Exchange price inde

Document Type : Research Paper

Authors

1 MSc. Student, of Industrial Engineering, K.N. Toosi University of Technology, Tehran, Iran

2 Assistant Prof. of Financial Angineering, K.N. Toosi University of Technology, Tehran, Iran

Abstract

The trend of the stock price index, has taken as one of the investment criteria consistently. Because of the two components of nonlinear and time series price index volatility, in this study, a new hybrid model presented that can predict move and change of these two components of the trend of the index with the highest accuracy. In this model, at the first by using wavelet transform the index time series splits into six separate time series index which represent the characteristics of nonlinear and volatility of index. Then the derived time series with nonlinear behavior by combining the support vector machine and particle swarm optimization (SVM-PSO) and time series behavior based on index volatility by using GJR models predicted and then by accumulating results of two nonlinear and volatility of price index prediction component, price index time series estimates. The results show that the proposed hybrid model, in comparison to other forecasting methods, has fewer errors and higher accuracy.

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References

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Financial Research Journal
Volume 18, Issue 4
March 2017
Pages 613-632

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