Forecasting gold price changes by using adaptive network fuzzy inference system

Developing a precise and accurate model of gold price is critical to assets management because of its unique features. In this paper, adaptive neuro-fuzzy inference system (ANFIS) and artificial neural network (ANN) model have been used for modeling the gold price, and compared with the traditional...

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Bibliographic Details
Published in:Journal of business economics and management 2012-11, Vol.13 (5), p.994-1010
Main Authors: Yazdani-Chamzini, Abdolreza, Haji Yakhchali, Siamak, Volungevičienė, Diana, Zavadskas, Edmundas Kazimieras
Format: Article
Language:English
Subjects:
adaptive network fuzzy inference system
Analysis
Economic aspects
Economy
forecasting
Forecasts and trends
Gold
gold price changes
Gold standard
Neural networks
Prices and rates
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Summary:Developing a precise and accurate model of gold price is critical to assets management because of its unique features. In this paper, adaptive neuro-fuzzy inference system (ANFIS) and artificial neural network (ANN) model have been used for modeling the gold price, and compared with the traditional statistical model of ARIMA (autoregressive integrated moving average). The three performance measures, the coefficient of determination (R 2), root mean squared error (RMSE), mean absolute error (MAE), are utilized to evaluate the performances of different models developed. The results show that the ANFIS model outperforms other models (i.e. ANN and ARIMA model), in terms of different performance criteria during the training and validation phases. Sensitivity analysis showed that the gold price changes are highly dependent upon the values of silver price and oil price.
ISSN:1611-1699
2029-4433
DOI:10.3846/16111699.2012.683808