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Journals / Alphanumeric Journal / 2019 / Cilt: 7 - Sayı: 2

Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index

Ayşe İŞİ
Fatih ÇEMREK
Pages
289–300
Publication Date
2019-12-31
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that semi-local prediction methods are successful in predicting the behaviour of stock market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Öz Chaotic prediction methods are classified as global, local and semi-local methods.
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Key Findings & Data:In this paper, unlike the studies in the literature, it is aimed to compare all these methods together for stock markets in terms of prediction performance and to determine the best prediction method for stock markets.
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Conclusion & Impact:The results show that semi-local prediction methods are successful in predicting the behaviour of stock market.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Anahtar Kelimeler Chaotic time series · chaotic prediction · Nearest Neighbor Method

Özet

Öz Chaotic prediction methods are classified as global, local and semi-local methods. In this paper, unlike the studies in the literature, it is aimed to compare all these methods together for stock markets in terms of prediction performance and to determine the best prediction method for stock markets. For this purpose, Multi-Layer Perceptron (MLP) neural networks from global methods, nearest neighbour method from local methods, radial basis functions from semi-local methods are used. The FTSE-100 index is selected to represent the stock market and applied the all methods to these data. The prediction performance is measured in term of root mean square error (RMSE) and normalized mean square error (NMSE). As a result of the analysis; it has been determined that the best prediction method for the FTSE-100 index is the semi-local method. While it is possible to make a maximum of 5 days prediction with global and local methods, it has been determined that up to 20 days prediction can be made with the semi-local prediction methods. The results show that semi-local prediction methods are successful in predicting the behaviour of stock market.

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Cite This Article

İŞİ, A., ÇEMREK, F. (2019). Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index. Alphanumeric Journal, Cilt: 7 - Sayı: 2, 289–300. https://ajindex.com/articles/63497

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