Comparative study of static and dynamic neural network models for nonlinear time series forecasting

Abbas Ali Abounoori, Hanieh Mohammadali, Nadiya Gandali Alikhani () and Esmaeil Naderi

MPRA Paper from University Library of Munich, Germany

Abstract: During the recent decades, neural network models have been focused upon by researchers due to their more real performance and on this basis different types of these models have been used in forecasting. Now, there is this question that which kind of these models has more explanatory power in forecasting the future processes of the stock. In line with this, the present paper made a comparison between static and dynamic neural network models in forecasting the return of Tehran Stock Exchange (TSE) index in order to find the best model to be used for forecasting this series (as a nonlinear financial time series). The data were collected daily from 25/3/2009 to 22/10/2011. The models examined in this study included two static models (Adaptive Neuro-Fuzzy Inference Systems or ANFIS and Multi-layer Feed-forward Neural Network or MFNN) and a dynamic model (nonlinear neural network autoregressive model or NNAR). The findings showed that based on the Mean Square Error and Root Mean Square Error criteria, ANFIS model had a much higher forecasting ability compared to other models.

Keywords: Forecasting; Stock Market; dynamic Neural Network; Static Neural Network. (search for similar items in EconPapers)
JEL-codes: C22 C45 C60 G14 G17 (search for similar items in EconPapers)
Date: 2012-10-12
New Economics Papers: this item is included in nep-ets, nep-for and nep-ore
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