Saudi Arabia stock prices forecasting using artificial neural networks

Abstract

In this paper, we have proposed artificial neural network for the prediction of Saudi stock market. The proposed predictions model, with its high degree of accuracy, could be used as investment advisor for the investors and traders in the Saudi stock market. The proposed model is based mainly on Saudi Stock market historical data covering a large span of time. Achieving reasonable accuracy rate of predication models will surely facilitate an increased confidence in the investment in the Saudi stock market. We have only used the closing price of the stock as the stock variable considered for input to the system. The number of windows gap to determine the numbers of previous data to be used in predicting the next day closing price data has been choosing based on heuristics. Our results indicated that the proposed ANN model predicts the next day closing price stock market value with a low RMSE and high correlation coefficient of up to 99.9% for the test set, which is an indication that the model adequately mimics the trend of the market in its prediction. This performance is really encouraging and thus the proposed system will impact positively the analysis and prediction of Saudi stock market in general.