Enhanced stock price variation prediction via DOE and BPNN-based optimization

Stock price variation predictions are at the core of many research issues, and neural networks (NNs) are widely applied and were proven to be more efficient than time series forecasting for stock price forecasting. However, this type of research always determines the parameter settings of the NNs rationally through a trial-and-error methodology. This paper integrates design of experiment (DOE), Taguchi method, and back-propagation NN (BPNN) to construct a robust engine to further optimize the prediction accuracy under a robust DOE-based predictor. Adopting data from Taiwan Stock Exchange (TWSE), the technical analytical indexes and β value of the listed stocks of TWSE were computed. The research results indicated that the proposed approach can effectively improve the forecasting rate of stock price variations.

► We integrate design of experiment (DOE), Taguchi method, and back-propagation NN (BPNN) to construct a robust engine to further optimize the prediction accuracy under a robust DOE-based predictor. ► Adopting data from Taiwan Stock Exchange (TWSE), the technical analytical indexes and β value of the listed stocks of TWSE were computed. ► The new method that we discovered can effectively improve the forecasting accuracy of stock price variation.