Effectiveness of the Philippine Stock Exchange Index (PSEi) as training dataset in forecasting Philippine stock prices using neural networks

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ID: 286881
2022
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Abstract
The health of the stock market is considered critical to a country’s economic development. The volatility of stock prices which are influenced by inflation rates, interest rates, tax changes, and other monetary policies, makes the prediction and analysis a very challenging task. With the use of advanced intelligent techniques such as deep learning, we can improve stock market prediction. In this study, we investigate the effectiveness of using the Philippine Stock Exchange index (PSEi) as a training dataset of three artificial neural networks (ANNs), namely, Multilayer Perceptron (MLP), Long-Short Term Memory (LSTM), and Convolutional Neural Network (CNN) in forecasting the daily closing prices of local stocks AbaCore Capital Holdings, Inc. (ABA) and San Miguel Corporation (SMC). Based on the mean squared error (MSE) and mean absolute percentage error (MAPE), the models using MLP with the activation function of hyperbolic tangent (tanh) are the suitable neural network model for both ABA and SMC.
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persistent_1760659942_68f189e63bcfe Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Ting, Nico Rafael Ayo
Journal Malay Journal
Year 2022
DOI
DOI not found
URL
https://animorepository.dlsu.edu.ph/etdb_math/20
Keywords Keywords not found

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