Stock Price Prediction and Traditional Models: An Approach to Achieve Short-, Medium- and Long-Term Goals  

作　　者：Opeyemi Sheu Alamu Md Kamrul Siam Opeyemi Sheu Alamu;Md Kamrul Siam(Department of Statistics, Federal College of Animals Health and Production Technology, Ibadan, Nigeria;New York Institute of Technology, New York, USA)

机构地区：[1]Department of Statistics, Federal College of Animals Health and Production Technology, Ibadan, Nigeria [2]New York Institute of Technology, New York, USA

出　　处：《Journal of Intelligent Learning Systems and Applications》2024年第4期363-383,共21页智能学习系统与应用（英文）

摘　　要：A comparative analysis of deep learning models and traditional statistical methods for stock price prediction uses data from the Nigerian stock exchange. Historical data, including daily prices and trading volumes, are employed to implement models such as Long Short Term Memory (LSTM) networks, Gated Recurrent Units (GRUs), Autoregressive Integrated Moving Average (ARIMA), and Autoregressive Moving Average (ARMA). These models are assessed over three-time horizons: short-term (1 year), medium-term (2.5 years), and long-term (5 years), with performance measured by Mean Squared Error (MSE) and Mean Absolute Error (MAE). The stability of the time series is tested using the Augmented Dickey-Fuller (ADF) test. Results reveal that deep learning models, particularly LSTM, outperform traditional methods by capturing complex, nonlinear patterns in the data, resulting in more accurate predictions. However, these models require greater computational resources and offer less interpretability than traditional approaches. The findings highlight the potential of deep learning for improving financial forecasting and investment strategies. Future research could incorporate external factors such as social media sentiment and economic indicators, refine model architectures, and explore real-time applications to enhance prediction accuracy and scalability.A comparative analysis of deep learning models and traditional statistical methods for stock price prediction uses data from the Nigerian stock exchange. Historical data, including daily prices and trading volumes, are employed to implement models such as Long Short Term Memory (LSTM) networks, Gated Recurrent Units (GRUs), Autoregressive Integrated Moving Average (ARIMA), and Autoregressive Moving Average (ARMA). These models are assessed over three-time horizons: short-term (1 year), medium-term (2.5 years), and long-term (5 years), with performance measured by Mean Squared Error (MSE) and Mean Absolute Error (MAE). The stability of the time series is tested using the Augmented Dickey-Fuller (ADF) test. Results reveal that deep learning models, particularly LSTM, outperform traditional methods by capturing complex, nonlinear patterns in the data, resulting in more accurate predictions. However, these models require greater computational resources and offer less interpretability than traditional approaches. The findings highlight the potential of deep learning for improving financial forecasting and investment strategies. Future research could incorporate external factors such as social media sentiment and economic indicators, refine model architectures, and explore real-time applications to enhance prediction accuracy and scalability.

关 键 词：Stock Price Prediction Deep Learning Traditional Model Evaluation Metrics Comparative Analysis Predictive Modeling LSTM ARIMA ARMA GRU 

分 类 号：F42[经济管理—产业经济]