A Model for Stock Market Value Forecasting using Ensemble Artificial Neural Network

  • Kingsley Kelechi Ajoku Federal University of Technology, Owerri
  • O. C. Nwokonkwo Federal University of technology, Owerri
  • A. M. John-Otumu Federal University of Technology, Owerri
  • Chukwuemeka Philips Oleji Federal University of Technology, Owerri
Keywords: Artificial Neural Network, Ensemble, Forecast, Stock Market

Abstract

Artificial Neural Network (ANN) is a model used in capturing linear and non-linear relationship of input and output data. Its usage has been predominant in the prediction and forecasting market time series. However, there has been low bias and high variance issues associated with ANN models such as the simple multi-layer perceptron model. This usually happens when training large dataset. The objective of this work was to develop an efficient forecasting model using Ensemble ANN to unravel the market mysteries for accurate decision on investment. This paper employed the Ensemble ANN modeling technique to tackle the high variations in stock market training dataset faced when using a simple multi-layer perceptron model by using the theory of ensemble averaging. The Ensemble ANN model was developed and implemented using NeurophStudio and Java programming language, then trained and tested using daily data of stock market prices from various banks, for a period of 497 days. The methodology adopted to achieve this task is the agile methodology. The output of the proposed predictive model was compared with four traditional neural network multilayer perceptron algorithms, and outperformed the traditional neural network multilayer perceptron algorithms. The proposed model gave an average to best predictive error for any day when compared with the other four traditional models.

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Published
2021-10-31
How to Cite
Ajoku, K. K., Nwokonkwo, O. C., John-Otumu, A. M., & Oleji, C. P. (2021). A Model for Stock Market Value Forecasting using Ensemble Artificial Neural Network. Journal of Advances in Computing, Communications and Information Technology, 2, 1-13. https://doi.org/10.37121/jaccit.v2.162
Section
Research Articles