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Comparison of Moving Average and Artificial Neural Network Modelling for the Daily Stock Market of the TASI Index Prediction

Hussein Eledum, Dalia Kamal Alnagar

Abstract



Many statisticians and economists are intrigued by the accuracy of predictions from time series models applied to data like stock price indices. The Moving Average Autoregressive Integrated Moving Average (MA-ARIMA) is a linear model used in time series analysis. It
transforms the original data into a kth moving average before applying the classical ARIMA. MA-ARIMA includes Simple Moving Average ARIMA (SMA-ARIMA), Weighted Moving Average ARIMA (WMA-ARIMA), and Exponential Weighted Moving Average ARIMA (EWMAARIMA). Recently, Artificial Neural Networks (ANN), particularly the forward propagation technique, have been explored as alternatives for forecasting. This paper compares MAARIMA and its variants with ANN using a single hidden layer feed-forward network to predict the Saudi Arabia stock market (TASI). The dataset comprises historical daily closing stock prices from January 1, 2020, to May 25, 2023, totaling 887 days. The study evaluates
the accuracy and effectiveness of both techniques. To our knowledge, this is the first comparison of MA-ARIMA and ANN for forecasting the Saudi market or any other market. Findings suggest that the 3rd WMA-ARIMA(3,1,2 model outperforms the ANN in predicting stock market trends. The article concludes that there is no significant difference between the accuracy of the MA-ARIMA and ANN methods in predicting future daily stock prices, providing valuable insights for investors and analysts.

Keywords


MA-ARIMA, Artificial Neural Network, SMA-ARIMA, WMA-ARIMA EWMA-ARIMA, TASI Index, Time-series forecasting, Stock Market Prediction.

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