Comparison of the Ability of Modern and Conventional Metaheuristic and Regression Models to Predict Stock Returns by Accounting Variables and Presenting an Effective Model

Advances in Mathematical Finance and Applications

مقاله 12، دوره 7، شماره 2، تیر 2022، صفحه 447-466   

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2021.1920762.1547

نویسندگان

Mahmood Kohansal Kafshgari¹؛ Alireza Zarei Sodani^{* 2}؛ Reza Behmanesh³

¹Department of Accounting, Isfahan Branch (Khorasgan), Islamic Azad University, Isfahan, Iran

²Department of Accounting, Falavarjan Branch, Islamic Azad University, Isfahan, Iran

³Department of Industrial engineering, Naghshejahan Higher Education Institute, Isfahan, Iran

چکیده

Investment in the stock market requires decision-making and access to infor-mation on the future of the stock market. Given the importance of predicting stock returns, the present study aimed to discover the variables and indices that could predict stock returns. The prediction of stock returns has long been a 'hot topic' in advanced countries. While effective steps have been taken in this regard, the accu-rate prediction of stock returns remains a problem due to numerous issues. In this study, an accurate, applicable, and effective model was proposed for the predic-tion of stock returns. The statistical sample included 138 active companies of Tehran Stock Exchange (TSE) during 2008-2017, which were selected by the systematic removal method. In total, 1,380 data years were selected for the re-search to evaluate the questions. Data analysis was performed using an adaptive neuro-fuzzy inference system (ANFIS), multi-gene genetic programming, and regression analysis. In addition, statistical tests were applied to evaluate the accu-racy of the model, implemented by MATLAB and GeneXproTools. According to the results, the hybrid metaheuristic method had a lower error rate compared to artificial neural network and regression analysis in terms of stock return predic-tion. Therefore, the proposed model could provide more accurate data within a shorter time to predict the stock market status since it makes predictions after selecting the most optimal input variables through ANFIS.

کلیدواژه‌ها

Prediction of Stock Returns؛ Metaheuristic Models؛ Neural Network؛ Regression

مراجع

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