Introducing a Prediction Model in Total Stock Price Index Using Neural Networks Approach (Case Study: Tehran Stock Exchange)

Pakdin Amiri, Alireza; Amiri, Mojtaba Pakdin; Pakdin Amiri, Morteza

Introducing a Prediction Model in Total Stock Price Index Using Neural Networks Approach (Case Study: Tehran Stock Exchange)

Authors

¹ Department of financial management, member of Young Researchers Club, Islamic Azad University

² Department of business management, faculty of economic and administration Sciences, University of Mazandaran

³ Department of accounting, Islamic Azad University, member of Young Researchers Club

Abstract

The object of this research is to present a prediction model of price
index in Tehran stock exchange using artificial neural networks. For
this reason, the industry index, financial index and the annual TEDIX
index were introduced as (independent) input variables. The MLP
plan accompanied with post-processing algorithm and multi-factor
model have been used to evaluate neural network model. The results
suggest that the proposed neural networks model is potent of
predicting price index in Tehran stock exchange. In the closing part,
conclusion has been drawn and applicable suggestions and also
directions have been given concerning pursuing and following up
similar researches.

Keywords