A comparative study of ARIMA, SVMs, and LSTM models in forecasting the Moroccan stock market

被引：3
作者：
Oukhouya H. [1 ]
El Himdi K. [1 ]
机构：
[1] Laboratory LMSA, Department of Mathematics, Faculty of Sciences, Mohammed V University of Rabat, 4 Avenue Ibn Batouta, Rabat
来源：
International Journal of Simulation and Process Modelling | 2023年 / 20卷 / 02期
关键词：
ARIMA; autoregressive integrated moving average; long short-term memory; LSTM; MASI; Moroccan all shares index; stock price; support vector regression; SVR; time series forecasting;
D O I：
10.1504/IJSPM.2023.136481
中图分类号：
学科分类号：
摘要：
Modelling and forecasting time series constitute important financial research areas for academics and practitioners. The stock markets significantly impact investment decisions in many different economic activities. Forecasting the direction of stock prices is essential in planning an investment strategy or determining the right time to trade. However, stock price movements (trends) are noisy, nonlinear, and chaotic. Predicting the evolution of price series to improve the return on investment is difficult. In this research, we are interested in modelling and forecasting the daily prices of a primary index in the Moroccan stock market. To this aim, we propose a comparative study between the results obtained from applying two independent approaches in machine learning (ML) methods as the support vector regression (SVR), long short-term memory (LSTM), and the classical method autoregressive integrated moving average (ARIMA) models. The empirical results show that LSTM and SVR nonlinear models can yield slightly better performance accuracy than the linear model ARIMA on average for log closing price series (37 trading days). Copyright © 2023 Inderscience Enterprises Ltd.
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页码：125 / 143
页数：18
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