A bat-neural network multi-agent system (BNNMAS) for stock price prediction: Case study of DAX stock price

Authored by Reza Hafezi, Jamal Shahrabi, Esmaeil Hadavandi

Date Published: 2015

DOI: 10.1016/j.asoc.2014.12.028

Sponsors: No sponsors listed

Platforms: MATLAB

Model Documentation: Other Narrative Flow charts Mathematical description

Model Code URLs: Model code not found

Abstract

Creating an intelligent system that can accurately predict stock price in a robust way has always been a subject of great interest for many investors and financial analysts. Predicting future trends of financial markets is more remarkable these days especially after the recent global financial crisis. So traders who access to a powerful engine for extracting helpful information throw raw data can meet the success. In this paper we propose a new intelligent model in a multi-agent framework called bat-neural network multi-agent system (BNNMAS) to predict stock price. The model performs in a four layer multi-agent framework to predict eight years of DAX stock price in quarterly periods. The capability of BNNMAS is evaluated by applying both on fundamental and technical DAX stock price data and comparing the outcomes with the results of other methods such as genetic algorithm neural network (GANN) and some standard models like generalized regression neural network (GRNN), etc. The model tested for predicting DAX stock price a period of time that global financial crisis was faced to economics. The results show that BNNMAS significantly performs accurate and reliable, so it can be considered as a suitable tool for predicting stock price specially in a long term periods. (C) 2015 Elsevier B.V. All rights reserved.

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