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International Journal of Sensors, Wireless Communications and Control

Author(s): Sarat Chandra Nayak*, Subhranginee Das and Mohammad Dilsad Ansari

DOI: 10.2174/2210327909666191202113015

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TLBO-FLN: Teaching-Learning Based Optimization of Functional Link Neural Networks for Stock Closing Price Prediction

Page: [522 - 532] Pages: 11

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Abstract

Background and Objective: Stock closing price prediction is enormously complicated. Artificial Neural Networks (ANN) are excellent approximation algorithms applied to this area. Several nature-inspired evolutionary optimization techniques are proposed and used in the literature to search the optimum parameters of ANN based forecasting models. However, most of them need fine-tuning of several control parameters as well as algorithm specific parameters to achieve optimal performance. Improper tuning of such parameters either leads toward additional computational cost or local optima.

Methods: Teaching Learning Based Optimization (TLBO) is a newly proposed algorithm which does not necessitate any parameters specific to it. The intrinsic capability of Functional Link Artificial Neural Network (FLANN) to recognize the multifaceted nonlinear relationship present in the historical stock data made it popular and got wide applications in the stock market prediction. This article presents a hybrid model termed as Teaching Learning Based Optimization of Functional Neural Networks (TLBO-FLN) by combining the advantages of both TLBO and FLANN.

Results and Conclusion: The model is evaluated by predicting the short, medium, and long-term closing prices of four emerging stock markets. The performance of the TLBO-FLN model is measured through Mean Absolute Percentage of Error (MAPE), Average Relative Variance (ARV), and coefficient of determination (R2); compared with that of few other state-of-the-art models similarly trained and found superior.

Keywords: Stock market prediction, functional link artificial neural network, teaching learning based optimization, artificial neural network, mean absolute percentage of error, average relative variance.

Graphical Abstract

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