Grey Wolf optimization-Elman neural network model for stock price prediction
- Title
- Grey Wolf optimization-Elman neural network model for stock price prediction
- Creator
- Kumar Chandar S.
- Description
- Over the past two decades, assessing future price of stock market has been a very active area of research in financial world. Stock price always fluctuates due to many variables. Thus, an accurate prediction of stock price can be considered as a tough task. This study intends to design an efficient model for predicting future price of stock market using technical indicators derived from historical data and natural inspired algorithm. The model adopts Elman neural network (ENN) because of its ability to memorize the past information, which is suitable for solving stock problems. Trial and error-based method is widely used to determine the parameters of ENN. It is a time-consuming task. To address such an issue, this study employs Grey Wolf optimization (GWO) algorithm to optimize the parameters of ENN. Optimized ENN is utilized to predict the future price of stock data in 1day advance. To evaluate the prediction efficiency, proposed model is tested on NYSE and NASDAQ stock data. The efficacy of the proposed model is compared with other benchmark models such as FPA-ELM, PSO-MLP, PSOElman,CSO-ARMA and GA-LSTM to prove its superiority. Results demonstrated that the GWO-ENN model provides accurate prediction for 1day ahead prediction and outperforms the benchmark models taken for comparison. 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
- Source
- Soft Computing, Vol-25, No. 1, pp. 649-658.
- Date
- 2021-01-01
- Publisher
- Springer Science and Business Media Deutschland GmbH
- Subject
- Average relative variance; Bio-inspired algorithm; Elman neural network; Grey Wolf optimization; Stock prediction
- Coverage
- Kumar Chandar S., School of Business and Management, CHRIST (Deemed to be University), Bangalore, India
- Rights
- Restricted Access
- Relation
- ISSN: 14327643
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Kumar Chandar S., “Grey Wolf optimization-Elman neural network model for stock price prediction,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/16069.