A Novel Hybrid Model for Stock Price Forecasting Based on Metaheuristics and Support Vector Machine

Mojtaba Sedighi, Hossein Jahangirnia, Mohsen Gharakhani and Saeed Farahani Fard
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Mojtaba Sedighi: Department of Finance, Qom Branch, Islamic Azad University, Qom 3749113191, Iran
Hossein Jahangirnia: Department of Accounting, Qom Branch, Islamic Azad University, Qom 3749113191, Iran
Mohsen Gharakhani: Department of Finance, Iranian Institute of Higher Education, Tehran 13445353, Iran
Saeed Farahani Fard: Department of Management and Economics, University of Qom, Qom 3716146611, Iran

Data, 2019, vol. 4, issue 2, 1-28

Abstract: This paper intends to present a new model for the accurate forecast of the stock’s future price. Stock price forecasting is one of the most complicated issues in view of the high fluctuation of the stock exchange and also it is a key issue for traders and investors. Many predicting models were upgraded by academy investigators to predict stock price. Despite this, after reviewing the past research, there are several negative aspects in the previous approaches, namely: (1) stringent statistical hypotheses are essential; (2) human interventions take part in predicting process; and (3) an appropriate range is complex to be discovered. Due to the problems mentioned, we plan to provide a new integrated approach based on Artificial Bee Colony (ABC), Adaptive Neuro-Fuzzy Inference System (ANFIS), and Support Vector Machine (SVM). ABC is employed to optimize the technical indicators for forecasting instruments. To achieve a more precise approach, ANFIS has been applied to predict long-run price fluctuations of the stocks. SVM was applied to create the nexus between the stock price and technical indicator and to further decrease the forecasting errors of the presented model, whose performance is examined by five criteria. The comparative outcomes, obtained by running on datasets taken from 50 largest companies of the U.S. Stock Exchange from 2008 to 2018, have clearly demonstrated that the suggested approach outperforms the other methods in accuracy and quality. The findings proved that our model is a successful instrument in stock price forecasting and will assist traders and investors to identify stock price trends, as well as it is an innovation in algorithmic trading.

Keywords: stock price forecasting; multi-objective optimization; technical indicators; ABC; ANFIS; SVM (search for similar items in EconPapers)
JEL-codes: C8 C80 C81 C82 C83 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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