Forecasting gold price changes by using adaptive network fuzzy inference system

Abdolreza Yazdani-Chamzini, Siamak Haji Yakhchali, Diana Volungevičienė and Edmundas Kazimieras Zavadskas

Journal of Business Economics and Management, 2012, vol. 13, issue 5, 994-1010

Abstract: Developing a precise and accurate model of gold price is critical to assets management because of its unique features. In this paper, adaptive neuro-fuzzy inference system (ANFIS) and artificial neural network (ANN) model have been used for modeling the gold price, and compared with the traditional statistical model of ARIMA (autoregressive integrated moving average). The three performance measures, the coefficient of determination ( R -super-2), root mean squared error (RMSE), mean absolute error (MAE), are utilized to evaluate the performances of different models developed. The results show that the ANFIS model outperforms other models (i.e. ANN and ARIMA model), in terms of different performance criteria during the training and validation phases. Sensitivity analysis showed that the gold price changes are highly dependent upon the values of silver price and oil price.

Date: 2012
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Citations: View citations in EconPapers (11)

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DOI: 10.3846/16111699.2012.683808

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