Abstract: One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The enormous amount of valuable data generated by the stock market has attracted researchers to explore this problem domain using different methodologies. Potential significant benefits of solving these problems motivated extensive research for years. In this paper, computational data mining methodology was used to predict seven major stock market indexes. Two learning algorithms including Linear Regression and Neural Network Standard feed-forward back prop (FFB) were tested and compared. The models were trained from four years of historical data from March 2007 to February 2011 in order to predict the major stock prices indexes in the Iran (Tehran Stock Exchange). The performance of these prediction models was evaluated using two widely used statistical metrics. We can show that using Neural Network Standard feed-forward back prop (FFB) algorithm resulted in better prediction accuracy. In addition, traditional knowledge shows that a longer training period with more training data could help to build a more accurate prediction model. However, as the stock market in Iran has been highly fluctuating in the past two years, this paper shows that data collected from a closer and shorter period could help to reduce the prediction error for such highly speculated fast changing environment.

Reza Aghababaeyan, TamannaSiddiqui and NajeebAhmadKhan, “Forecasting the Tehran Stock Market by Artificial Neural Network” International Journal of Advanced Computer Science and Applications(IJACSA), Special Issue on Artificial Intelligence, 2011. http://dx.doi.org/10.14569/SpecialIssue.2011.010303

@article{Aghababaeyan2011,
title = {Forecasting the Tehran Stock Market by Artificial Neural Network},
journal = {International Journal of Advanced Computer Science and Applications(IJACSA), Special Issue on Artificial Intelligence}
doi = {10.14569/SpecialIssue.2011.010303},
url = {http://dx.doi.org/10.14569/SpecialIssue.2011.010303},
year = {2011},
publisher = {The Science and Information Organization},
volume = {1},
number = {3},
author = {Reza Aghababaeyan and TamannaSiddiqui and NajeebAhmadKhan},
}