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A novel leading moving average indicator using ANFIS-Wavelet hybrid method for financial market forecasting | ||
| Journal of Mathematical Modeling | ||
| مقاله 5، دوره 13، شماره 4، اسفند 2025، صفحه 817-830 اصل مقاله (3.76 M) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22124/jmm.2025.30492.2737 | ||
| نویسندگان | ||
| Mohammad Kazemi* 1؛ Hamed Mohammadi Peyhani2؛ Mohsen Akbari3 | ||
| 1Department of Statistics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran | ||
| 2Department of Information Science, University of Ottago, Dunedin, New Zealand | ||
| 3Department of Business Administration, Faculty of Management and Economics, University of Guilan, Rasht, Iran | ||
| چکیده | ||
| Technical analysis aims to identify market trends and forecast future direction to support profitable trading decisions. This paper introduces a novel leading moving average indicator based on a hybrid ANFIS-Wavelet approach. The proposed method consists of two main components. First, a hybrid model combining an Adaptive Network-based Fuzzy Inference System (ANFIS) and Wavelet Transform (WT) is employed to forecast future market prices, with the full wavelet decomposition of the price time series serving as input parameters for ANFIS. Second, a leading moving average is constructed using both historical and forecasted prices. Similar to the other leading indicators, the proposed indicator can serve as a market predictor due to its incorporation of forecasted values. Empirical evaluation on NASDAQ-listed stocks demonstrates that this indicator is effective as a trading decision-support tool in financial markets, such as stock exchanges. | ||
| کلیدواژهها | ||
| Artificial neural network (ANN)؛ financial forecasting؛ moving average؛ time series؛ wavelet transform | ||
| مراجع | ||
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