Comparison of ARIMA and Artificial Neural Networks Models for Stock Price Prediction

This paper examines the forecasting performance of ARIMA and artificial neural networks model with published stock data obtained from New York Stock Exchange. The empirical results obtained reveal the superiority of neural networks model over ARIMA model. The findings further resolve and clarify con...

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Bibliographic Details
Published in:Journal of Applied Mathematics 2014-01, Vol.2014 (2014), p.879-885-589
Main Authors: Adebiyi, Ayodele Ariyo, Adewumi, Aderemi Oluyinka, Ayo, Charles Korede
Format: Article
Language:English
Subjects:
Artificial neural networks
Autoregression (Statistics)
Economic models
Empirical analysis
Forecasting
Forecasting techniques
Mathematical models
Neural networks
Prices and rates
Raw materials
Stock exchanges
Stocks
Studies
Time series
Vices
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Summary:This paper examines the forecasting performance of ARIMA and artificial neural networks model with published stock data obtained from New York Stock Exchange. The empirical results obtained reveal the superiority of neural networks model over ARIMA model. The findings further resolve and clarify contradictory opinions reported in literature over the superiority of neural networks and ARIMA model and vice versa.
ISSN:1110-757X
1687-0042
DOI:10.1155/2014/614342