A Recurrent Neural Network and a Discrete Wavelet Transform to Predict the Saudi Stock Price Trends
Journal Title: International Journal of Advanced Computer Science & Applications - Year 2019, Vol 10, Issue 4
Abstract
Stock markets can be characterised as being complex, dynamic and chaotic environments, making the prediction of stock prices very tough. In this research work, we attempt to predict the Saudi stock price trends with regards to its earlier price history by combining a discrete wavelet transform (DWT) and a recurrent neural network (RNN). The DWT technique helped to remove the noises pertaining to the data gathered from the Saudi stock market based on a few chosen samples of companies. Then, a designed RNN has trained via the Back Propagation Through Time (BPTT) method to aid in predicting the Saudi market’s stock prices for the next seven days’ closing price pertaining to the chosen sample of companies. Then, analysis of the obtained results was carried out to make a comparison with the results from those employing the traditional prediction algorithms like the auto regressive integrated moving average (ARIMA). Based on the comparison, it was found that the put forward method (DWT+RNN) allowed more accurate prediction of the day’s closing price versus the ARIMA method employing the mean squared error (MSE), mean absolute error (MAE) and root mean squared error (RMSE) criterion.
Authors and Affiliations
Mutasem Jarrah, Naomie Salim
Keywords
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- EP ID EP550273
- DOI 10.14569/IJACSA.2019.0100418
- Views 91
- Downloads 0
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