An investment decision support system to forecast stock price using hybrid models : a case of the Thai stock market | |
| Author | Napadol Khunanugul |
| Call Number | AIT RSPR no.IM-13-01 |
| Subject(s) | Stock price forecasting--Thailand Decision support systems--Thailand Investment analysis--Mathematical models--Thailand |
| Note | A research study submitted in partial fulfillment of the requirements for the degree of Master of Science in Information Management, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. IM-13-01 |
| Abstract | This research study is to develop an investment DSS to further improve on forecasting stock prices in a case of the Thai stock market. In this study, Forecasting models have been reviewed and classified into three main categories which are Statistical Forecasting Model (SFM), Artificial Intelligence Forecasting Model (AIFM), and Hybrid Forecasting Model (HFM). The hybrid forecasting models are popularly used in many previous studies for the purpose of improving forecasting performance. It is noted that the hybrid model of ARIMA (Auto-regressive integrated moving average) and ANN (Artificial neural network) proposed by Kashei (2011) has outstandingly performed. We further propose a new hybrid forecasting model by adding the Technical Analysis (TA) feature on top of the Kashei’s model. The results show that, in light of accuracy, the new model slightly outperforms in comparison with the Kashei’s model. The new model is also obviously better than the ARIMA model. However, this study cannot claim that the proposed hybrid model can outperform the ANN model. |
| Year | 2013 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. IM-13-01 |
| Type | Research Study Project Report (RSPR) |
| School | School of Engineering and Technology (SET) |
| Department | Department of Information and Communications Technologies (DICT) |
| Academic Program/FoS | Information Management (IM) |
| Chairperson(s) | Vatcharaporn Esichaikul; |
| Examination Committee(s) | Guha, Sumanta;Duboz, Raphael; |
| Scholarship Donor(s) | Royal Thai Government;Asian Institute of Technology Fellowship; |
| Degree | Research Studies Project Report (M.Sc.) - Asian Institute of Technology, 2013 |