eprintid: 16433
rev_number: 2
eprint_status: archive
userid: 1
dir: disk0/00/01/64/33
datestamp: 2023-12-19 03:22:57
lastmod: 2023-12-19 03:22:57
status_changed: 2023-12-19 03:06:14
type: article
metadata_visibility: show
creators_name: Fathi, A.Y.
creators_name: El-Khodary, I.A.
creators_name: Saafan, M.
title: Integrating singular spectrum analysis and nonlinear autoregressive neural network for stock price forecasting
ispublished: pub
note: cited By 3
abstract: The main objective of stock market investors is to maximize their gains. As a result, stock price forecasting has not lost interest in recent decades. Nevertheless, stock prices are influenced by news, rumor, and various economic factors. Moreover, the characteristics of specific stock markets can differ significantly between countries and regions, based on size, liquidity, and regulations. Accordingly, it is difficult to predict stock prices that are volatile and noisy. This paper presents a hybrid model combining singular spectrum analysis (SSA) and nonlinear autoregressive neural network (NARNN) to forecast close prices of stocks. The model starts by applying the SSA to decompose the price series into various components. Each component is then used to train a NARNN for future price forecasting. In comparison to the autoregressive integrated moving average (ARIMA) and NARNN models, the SSA-NARNN model performs better, demonstrating the effectiveness of SSA in extracting hidden information and reducing the noise of price series. © 2022, Institute of Advanced Engineering and Science. All rights reserved.
date: 2022
publisher: Institute of Advanced Engineering and Science
official_url: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85132360139&doi=10.11591%2fijai.v11.i3.pp851-858&partnerID=40&md5=cc010ef04158e6f96b4a3948924e23e6
id_number: 10.11591/ijai.v11.i3.pp851-858
full_text_status: none
publication: IAES International Journal of Artificial Intelligence
volume: 11
number: 3
pagerange: 851-858
refereed: TRUE
issn: 20894872
citation:   Fathi, A.Y. and El-Khodary, I.A. and Saafan, M.  (2022) Integrating singular spectrum analysis and nonlinear autoregressive neural network for stock price forecasting.  IAES International Journal of Artificial Intelligence, 11 (3).  pp. 851-858.  ISSN 20894872