Mobina Mousapour Mamoudan, A. Ostadi, Nima Pourkhodabakhsh, A. M. F. Fard, Faezeh Soleimani
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Hybrid neural network-based metaheuristics for prediction of financial markets: a case study on global gold market
Technical analysis indicators are popular tools in financial markets. These tools help investors to identify buy and sell signals with relatively large errors. The main goal of this study is to develop new practical methods to identify fake signals obtained from technical analysis indicators in the precious metals market. In this paper, we analyze these indicators in different ways based on the recorded signals for ten months. The main novelty of this research is to propose hybrid neural network-based metaheuristic algorithms for analyzing them accurately while increasing the performance of the signals obtained from technical analysis indicators. We combine a convolutional neural network and a bidirectional gated recurrent unit whose hyperparameters are optimized using the firefly metaheuristic algorithm. To determine and select the most influential variables on the target variable, we use another successful recently-developed metaheuristic, namely, the moth-flame optimization algorithm. Finally, we compare the performance of the proposed models with other state-of-the-art single and hybrid deep learning and machine learning methods from the literature. Finally, the main finding is that the proposed neural network-based metaheuristics can be useful as a decision support tool for investors to address and control the enormous uncertainties in the financial and precious metals markets.
期刊介绍:
Journal of Computational Design and Engineering is an international journal that aims to provide academia and industry with a venue for rapid publication of research papers reporting innovative computational methods and applications to achieve a major breakthrough, practical improvements, and bold new research directions within a wide range of design and engineering:
• Theory and its progress in computational advancement for design and engineering
• Development of computational framework to support large scale design and engineering
• Interaction issues among human, designed artifacts, and systems
• Knowledge-intensive technologies for intelligent and sustainable systems
• Emerging technology and convergence of technology fields presented with convincing design examples
• Educational issues for academia, practitioners, and future generation
• Proposal on new research directions as well as survey and retrospectives on mature field.