[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Archive :: Search :: Submit :: Contact ::
Main Menu
Home::
Journal Information::
Articles archive::
For Authors::
For Reviewers::
Registration::
Contact us::
Site Facilities::
Webmail::
::
Search in website

Advanced Search
..
Receive site information
Enter your Email in the following box to receive the site news and information.
..
:: Volume 2, Issue 8 (9-2012) ::
2012, 2(8): 119-140 Back to browse issues page
Chaos Analysis, Wavelet Decomposition and the Performance of Neural Network Models in Forecasting Tehran Stock Exchange Index
Esmaeil Naderi , Hossein Abbasi-Nejad
Abstract:   (9493 Views)

This study investigates predictability, chaos analysis, wavelet decomposition and the performance of neural network models in forecasting the return series of the Tehran Stock Exchange Index (TEDPIX). For this purpose, the daily data from April 24, 2009 to May 3, 2012 is used. Results show that TEDPIX series is chaotic and predictable with nonlinear effect. Also, according to obtained inverse of the largest lyapunov exponent, we are able to predict the future values of the series up to 31 days. Besides, our findings suggest that multi-layer feed forward neural network model and fuzzy model based on decomposed data, are of superior performances in predicting the return series. It is worth mentioning that, among these models, MFNN reveals the best performance.

Keywords: Forecasting, Exchange Market, Chaos Analysis, Wavelet Decomposition, Neural Network Models.
     
Type of Study: Applicable | Subject: پولی و مالی
Received: 2012/07/14 | Accepted: 2012/11/12 | Published: 2012/09/15
Send email to the article author

Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Naderi E, Abbasi-Nejad H. Chaos Analysis, Wavelet Decomposition and the Performance of Neural Network Models in Forecasting Tehran Stock Exchange Index. Journal title 2012; 2 (8) :119-140
URL: http://jfm.khu.ac.ir/article-1-508-en.html


Rights and permissions
Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 2, Issue 8 (9-2012) Back to browse issues page
فصلنامه تحقیقات مدلسازی اقتصادی Journal of Economic Modeling Research
Persian site map - English site map - Created in 0.12 seconds with 37 queries by YEKTAWEB 4642