Proceedings of the 2019 International Conference on Computer, Network, Communication and Information Systems (CNCI 2019)

A Hybrid Approach of Combining BP Neural Network and GARCH Model for Forecasting Stock Price

Authors
Peipei Zhang, Chuanhe Shen
Corresponding Author
Peipei Zhang
Available Online May 2019.
DOI
10.2991/cnci-19.2019.32How to use a DOI?
Keywords
BP neural network, Stock price prediction, Nonlinear, ARIMA, GARCH.
Abstract

In this paper, we first construct a three-layer (one hidden layer) multilayer back propagation neural network (BPNN) model to forecast daily closing prices of stocks, but there are considerable errors between the actual values and predicted values. Then, to get better prediction results with higher accuracy, we fit the tendency of the errors by modeling a generalized autoregressive conditional heteroscedasticity (GARCH) model. Since it can better deal with the non-linearity and other characteristics of financial data, so the predictive effect of our method is better than that of the hybrid approach of BPNN and autoregressive integrated moving average (ARIMA) model. Finally, we verify this assertion through experimental results.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2019 International Conference on Computer, Network, Communication and Information Systems (CNCI 2019)
Series
Advances in Computer Science Research
Publication Date
May 2019
ISBN
978-94-6252-713-3
ISSN
2352-538X
DOI
10.2991/cnci-19.2019.32How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Peipei Zhang
AU  - Chuanhe Shen
PY  - 2019/05
DA  - 2019/05
TI  - A Hybrid Approach of Combining BP Neural Network and GARCH Model  for Forecasting Stock Price
BT  - Proceedings of the 2019 International Conference on Computer, Network, Communication and Information Systems (CNCI 2019)
PB  - Atlantis Press
SP  - 222
EP  - 226
SN  - 2352-538X
UR  - https://doi.org/10.2991/cnci-19.2019.32
DO  - 10.2991/cnci-19.2019.32
ID  - Zhang2019/05
ER  -