• Title of article

    The artificial neural networks for investigation of correlation between economic variables and stock market indices

  • Author/Authors

    Rezaei ، Mehdi Department of Industrial Engineering - Engineering Faculty - Meybod University , Neshat ، Najmeh Department of Industrial Engineering - Engineering Faculty - Meybod University , Jafari Nodoushan ، ‎Abbasali Department of Industrial Engineering - Engineering Faculty - Meybod University , Ahmadzade Semeskande ، Amir Mohammad Department of Industrial Engineering - Engineering Faculty - Meybod University

  • From page
    19
  • To page
    35
  • Abstract
    ‎In this research‎, ‎we investigated the interactive effects between the macroeconomic variables of currency‎, ‎gold‎, ‎and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices‎. ‎In this regard‎, ‎the analysis of Pearson correlation and regression coefficients have been used to investigate the existence of an interactive effect among them‎, ‎and a Multi-Layer Perceptron Neural Network (MLP NN) model has been used to simulate this effect‎. ‎The models have been fitted as a time series based on the daily data related to the economic variables and the mentioned indicators during march 2016 to that of 2021‎. ‎Investigating the interactive effects between variables has been done using SPSS statistical software‎, ‎and Artificial Neural Network (ANN) simulation developed in MATLAB programming environment‎. ‎The extracted results indicate the existence of an interactive effect among these economic variables‎. ‎The simulation results show the high ability of ANN in modeling and predicting the total price and equal-weighted indices‎, ‎and this model has been able to make more accurate predictions by considering these interactive effects as well‎.
  • Keywords
    Interactive effect , Total index , Equal weighted index , Modeling , Artificial neural network
  • Journal title
    Journal of Mathematics and Modeling in Finance
  • Journal title
    Journal of Mathematics and Modeling in Finance
  • Record number

    2772609