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A NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysia

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dc.citedby1
dc.contributor.authorDhafer A.H.en_US
dc.contributor.authorNor F.M.en_US
dc.contributor.authorHashim W.en_US
dc.contributor.authorShah N.R.en_US
dc.contributor.authorBin Khairi K.F.en_US
dc.contributor.authorAlkawsi G.en_US
dc.contributor.authorid57336725300en_US
dc.contributor.authorid17135907800en_US
dc.contributor.authorid11440260100en_US
dc.contributor.authorid57337149600en_US
dc.contributor.authorid57337149700en_US
dc.contributor.authorid57191982354en_US
dc.date.accessioned2023-05-29T09:05:58Z
dc.date.available2023-05-29T09:05:58Z
dc.date.issued2021
dc.descriptionCommerce; 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; Forecastingen_US
dc.description.abstractStock 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.en_US
dc.description.natureFinalen_US
dc.identifier.doi10.1109/AiDAS53897.2021.9574394
dc.identifier.scopus2-s2.0-85118973744
dc.identifier.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85118973744&doi=10.1109%2fAiDAS53897.2021.9574394&partnerID=40&md5=db4244d247d110c08e378740f02ad3bf
dc.identifier.urihttps://irepository.uniten.edu.my/handle/123456789/25999
dc.publisherInstitute of Electrical and Electronics Engineers Inc.en_US
dc.sourceScopus
dc.sourcetitle2021 2nd International Conference on Artificial Intelligence and Data Sciences, AiDAS 2021
dc.titleA NARX Neural Network Model to Predict One-Day Ahead Movement of the Stock Market Index of Malaysiaen_US
dc.typeConference Paperen_US
dspace.entity.typePublication
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