A Prescriptive Stock Market Investment Strategy for the Restaurant Industry using an Artificial Neural Network Methodology

Stock price forecasting is a classic problem facing analysts. Forecasting models have been developed for predicting individual stocks and stock indices around the world and in numerous industries. According to a literature review, these models have yet to be applied to the restaurant industry. Strategies for forecasting typically include fundamental and technical variables. In this research, fundamental and technical inputs were combined into an artificial neural network (ANN) stock prediction model for the restaurant industry. Models were designed to forecast 1 week, 4 weeks, and 13 weeks into the future. The model performed better than the benchmark methods, which included, an analyst prediction, multiple linear regression, trading, and Buy and Hold trading strategies. The prediction accuracy of the ANN methodology presented reached accuracy performance measures as high as 60%. The model also shown resiliency over the housing crisis in 2008. A Prescriptive Stock Market Investment Strategy for the Restaurant Industry using an Artificial Neural Network Methodology

[1]  Ricardo de A. Araújo.  Swarm-Based Hybrid Intelligent Forecasting Method For Financial Time Series Prediction , 2007 .

[2]  Siu Cheung Hui,et al.  A hybrid time lagged network for predicting stock prices , 2000 .

[3]  Some issues on the stability of trading based on technical analysis , 2004 .

[4]  William A. Young,et al.  Artificial Neural Networks for Business Analytics , 2014 .

[5]  Khaled Rasheed,et al.  Stock market prediction with multiple classifiers , 2007, Applied Intelligence.

[6]  Mark P. Taylor,et al.  Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks , 2002 .

[7]  Benoit B. Mandelbrot,et al.  Fractals and Scaling in Finance , 1997 .

[8]  Fernando Arroyo,et al.  Hierarchical Function Approximation with a Neural Network Model , 2009, Int. J. Softw. Sci. Comput. Intell..

[9]  Hans-Georg Wittkemper,et al.  Using neural networks to forecast the systematic risk of stocks , 1996 .

[10]  Sreejit Chakravarty,et al.  Forecasting stock market indices using hybrid network , 2009, 2009 World Congress on Nature & Biologically Inspired Computing (NaBIC).

[11]  Zehong Yang,et al.  Intelligent stock trading system by turning point confirming and probabilistic reasoning , 2008, Expert Syst. Appl..

[12]  Jeffrey S. Racine.  On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables , 2001 .

[13]  Guoqiang Peter Zhang,et al.  Neural network forecasting for seasonal and trend time series , 2005, Eur. J. Oper. Res..

[14]  K. S. Vaisla,et al.  An Analysis of the Performance of Artificial Neural Network Technique for Stock Market Forecasting , 2010 .

[15]  Michael Y. Hu,et al.  Forecasting with artificial neural networks: The state of the art , 1997 .

[16]  Johan Bollen,et al.  Twitter mood predicts the stock market , 2010, J. Comput. Sci..

[17]  Anitha Mary Xavier.  Genetic-Algorithm-Based Performance Optimization for Non-Linear MIMO System , 2021, Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms.

[18]  Jao-Hong Cheng,et al.  A hybrid forecast marketing timing model based on probabilistic neural network, rough set and C4.5 , 2010, Expert Syst. Appl..

[19]  James A. Ohlson.  Earnings, Book Values, and Dividends in Equity Valuation: An Empirical Perspective , 2001 .

[20]  Tiago Alessandro Espínola Ferreira,et al.  A New Intelligent System Methodology for Time Series Forecasting with Artificial Neural Networks , 2008, Neural Processing Letters.

[21]  A. Latif,et al.  Forecasting the Stock Market through Dart Board Theory , 2011 .

[22]  Andrew W. Lo,et al.  Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation , 2000 .

[23]  Russell L. Purvis,et al.  Forecasting the NYSE composite index with technical analysis, pattern recognizer, neural network, and genetic algorithm: a case study in romantic decision support , 2002, Decis. Support Syst..

[24]  Min Qi,et al.  Nonlinear Predictability of Stock Returns Using Financial and Economic Variables , 1999 .

[25]  Dipak Laha,et al.  Handbook of Computational Intelligence in Manufacturing and Production Management , 2007 .

[26]  O T Arogundade,et al.  TRANSLATED NIGERIA STOCK MARKET PRICES USING ARTIFICIAL NEURAL NETWORK FOR EFFECTIVE PREDICTION , 2009 .

[27]  Thorsten Poddig,et al.  A 'world' model of integrated financial markets using artificial neural networks , 1996, Neurocomputing.

[28]  Gary R. Weckman,et al.  An Integrated Stock Market Forecasting Model Using Neural Networks , 2008 .

[29]  Emma Schultz,et al.  Fundamental and Technical Analysis: Substitutes or Complements? , 2009 .

[30]  Tong-Seng Quah,et al.  Improving returns on stock investment through neural network selection , 1999 .

[31]  David Enke,et al.  The use of data mining and neural networks for forecasting stock market returns , 2005, Expert Syst. Appl..

[32]  Arash Ghanbari,et al.  Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting , 2010, Knowl. Based Syst..

[33]  Zoran Obradovic,et al.  A multi-component nonlinear prediction system for the S&P 500 Index , 1996, Neurocomputing.

[34]  D. M. Titterington,et al.  Neural Networks: A Review from a Statistical Perspective , 1994 .

[35]  Kimon P. Valavanis,et al.  Surveying stock market forecasting techniques - Part II: Soft computing methods , 2009, Expert Syst. Appl..

[36]  G. Peter Zhang,et al.  Business Forecasting with Artificial Neural Networks: An Overview , 2004 .

[37]  Saifullah Khalid.  Applied Computational Intelligence and Soft Computing in Engineering , 2017 .

[38]  Monica Lam,et al.  Neural network techniques for financial performance prediction: integrating fundamental and technical analysis , 2004, Decis. Support Syst..

[39]  David Enke,et al.  Intelligent technical analysis based equivolume charting for stock trading using neural networks , 2008, Expert Syst. Appl..

[40]  Yukihiro Nakamura,et al.  Stock Price Prediction Using Prior Knowledge and Neural Networks , 1997, Intell. Syst. Account. Finance Manag..