Optimizing stock market volatility predictions based on the SMVF-ANP approach

Zhigui Guan and Yuanjun Zhao

International Review of Economics & Finance, 2024, vol. 95, issue C

Abstract: The stock market is considered one of the most complicated financial systems, comprising several components or inventories, whose prices vary substantially over time. Bursaries include revealing market tendencies over time. All investors in the stock market aim to maximize profits and reduce the associated risks. Stock currency forecasts are a significant financial concern that is being handled even more closely. In recent years, various neural network and hybrid models have surpassed classic linear and non-linear techniques to produce reliable prediction outcomes. This study investigates the efficacy of dynamic and effective stock market forecasting using neural network models. This study examines market transmission mechanisms and assesses the predicted links between multiple financial and economic factors. A stock market volatility and artificial network prediction (SMVF–ANP) approach is presented. The models analyzed included a multi-layer perceptron (MLP), dynamic artificial neural network, and generalized autoregressive conditional heteroscedasticity to extract additional input variables. The results reveal that the trade strategies led by the classification models yield superior risk-adjusted returns compared to the buy-and-hold approach and those led by the neural network and linear regression model-level estimate predictions. The numerical results show that the proposed SMVF-ANP method achieved a high performance ratio of 94.1%, an enhanced prediction ratio of 98.4%, a high stock market volatility rate of 96.7%, a reduced mean square percentage error ratio of 16.3%, a probability rate of 32.7%, an increased efficiency rate of 96.9%, and an accuracy ratio of 97.2% compared to other methods.

Keywords: Forecasting stock exchange; Neural network models; Multilayer perceptron; Dynamic artificial neural network; Financial systems (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004945

DOI: 10.1016/j.iref.2024.103502

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