Application of Enhanced Hidden Markov Model in Stock Price Prediction

Authors

  • Donata D. Acula University of Santo Tomas
  • Teofilo De Guzman Graduate School, Centro Escolar University, Manila

DOI:

https://doi.org/10.21467/jmsm.3.1.70-78

Abstract

The main focus of this research is the enhancement of the Hidden Markov Model by using some features of Neural Networks and the forecasted values of predictors by Seasonal Autoregressive Integrated Moving Average. The enhanced method was used to predict the close price of stocks whose predictors are open price, high price, low price, and volume of Apple and Nokia data. The performance of the method was measured using the Mean Absolute Percentage Error of the predicted price. The result was compared against the actual close price by using the paired T-test. The testing of the hypothesis showed that the Enhanced Hidden Markov Model obtained more than 94% accuracy rate. It also shows that in Apple data, the predicted close price of the Enhanced Hidden Markov Model is significantly better than the predicted close price of Neural Networks. Using Nokia data, the test claims that there is no difference between the performance of Enhanced Hidden Markov Model and Neural Network in prediction. 

Keywords:

Stock Price Prediction, Enhanced Hidden Markov Model, Neural Networks

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Published

2020-07-29

Issue

Section

Research Article

How to Cite

[1]
D. D. Acula and T. De Guzman, “Application of Enhanced Hidden Markov Model in Stock Price Prediction”, J. Mod. Sim. Mater., vol. 3, no. 1, pp. 70-78, Jul. 2020.