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Predicting the Price of Gold in the Financial Markets Using Hybrid Models

Rashidi, Mohammad Hossein | 2020

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 53147 (01)
  4. University: Sharif University of Technology
  5. Department: Industrial Engineering
  6. Advisor(s): Modarres Yazdi, Mohammad
  7. Abstract:
  8. Predicting the price that has the least error and can provide the best and highest accuracy has been one of the most challenging issues and one of the most critical concerns among capital market activists and researchers. Therefore, a model that can solve problems and provide results with high accuracy is one of the topics of interest among researchers. In this project, using time series prediction models such as ARIMA to estimate the price, variables, and indicators related to technical analysis show the behavior of traders involved in involving psychological factors for the model. By linking all of these variables to stepwise regression, we identify the best variables influencing the prediction of the variable. Finally, we enter the selected variables as inputs to the artificial neural network. In other words, we want to call this whole prediction process the "ARIMA– Stepwise Regression - Neural Network" model and try to predict the price of gold in international financial markets. This approach is expected to be able to be used to predict the types of stocks, commodities, currency pairs, financial market indicators, and other items used in local and international financial markets. Moreover, a comparison between the results of this method and time series methods is also expressed. Finally, based on the results, it can be seen that the resulting hybrid model has the highest accuracy compared to the time series method, regression, and stepwise regression
  9. Keywords:
  10. Data Mining ; Machine Learning ; Neural Network ; Technical Analysis ; Price Forecasting ; Hybrid Methods ; Autoregressive Integrated Moving Average (ARIMA)

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