Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model

Chowdhury, Raqib; Mahdy, M. R. C.; Alam, Tanisha Nourin; Quaderi, Golam Dastegir Al; Rahman, Mizanur

doi:10.1016/j.physa.2020.124444

Cited by 36 publications

(23 citation statements)

References 50 publications

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“…This software is a data analysis platform that is used worldwide and consists of machine learning algorithms. Among its key features is its ability to visualize the output and to compare models easily 11 . RapidMiner is used with operators and each operator has a task, for example, operations such as reading, writing, and converting data.…”

Section: Methodsmentioning

confidence: 99%

Determination of species of some wood veneers using machine vision

Sözen

Bardak

2021

Color Research & Application

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The veneer industry is widely used in many countries of the world. Properties such as obtaining curved surfaces, concealing defects, usability in different designs, and patterns can be counted as the main advantages of veneers compared to solid wood. Although advanced production and quality control systems have developed in coating production, the number of countries where traditional production methods are used is quite high. The biggest problem in transition to advanced systems is investment costs. Therefore, companies allocate low budgets for growth. This study carried out machine vision estimation of different types of veneers obtained by the quarter‐cutting and rotary methods. Fifteen different veneers samples were used in the study. Over 923 features were extracted from 75 veneer images to determine the selected features. Artificial neural network and decision tree techniques were used as decision‐making algorithms. It was determined that the artificial neural network made predictions with higher accuracy in estimating the veneer type. Rays, annual rings, and light‐dark color contrast were among the parameters effective in machine vision prediction. The importance of data is increasing in businesses that are undergoing digital transformation and automation. Today, data are expressed not only in numbers or texts, but also in features extracted from images. With this study, numerical features were extracted from the veneer images and species predictions were made. It was determined that among the algorithms used, the artificial neural network yielded more accurate results than the decision tree technique.

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Section: Methodsmentioning

confidence: 99%

Determination of species of some wood veneers using machine vision

Sözen

Bardak

2021

Color Research & Application

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“…Artificial neural networks and Genetic Algorithms among others are examples of tools and methodologies used in artificial intelligence research field to anticipate stock market movements. Many studies have looked into the benefits of using such approaches including and are not limited to (Nevasalmi 2020;Patel et al 2015;Khan et al 2020;Nabipour et al 2020;Zhong and Enke 2019;Singh 2018;Chowdhury et al 2020;Valencia et al 2019). In addition to a slew of other studies attempting to build and discover new machine learning approaches, including (Qiu and Yu 2016;Narloch et al 2019;Khashei and Hajirahimi 2018;Samer et al 2018;Abadleh et al 2021;Chi 2018).…”

Section: Related Literaturementioning

confidence: 99%

Stock Price Forecasting for Jordan Insurance Companies Amid the COVID-19 Pandemic Utilizing Off-the-Shelf Technical Analysis Methods

et al. 2022

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One of the most difficult problems analysts and decision-makers may face is how to improve the forecasting and predicting of financial time series. However, several efforts were made to develop more accurate and reliable forecasting methods. The main purpose of this study is to use technical analysis methods to forecast Jordanian insurance companies and accordingly examine their performance during the COVID-19 pandemic. Several experiments were conducted on the daily stock prices of ten insurance companies, collected by the Amman Stock Exchange, to evaluate the selected technical analysis methods. The experimental results show that the non-parametric Exponential Decay Weighted Average (EDWA) has higher forecasting capabilities than some of the more popular forecasting strategies, such as Simple Moving Average, Weighted Moving Average, and Exponential Smoothing. As a result, we show that using EDWA to forecast the share price of insurance companies in Jordan is good practice. From a technical analysis perspective, our research also shows that the pandemic had different effects on different Jordanian insurance companies.

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“…The Black-Scholes Option pricing model (BSOP) has long been in use for the valuation of equity options to find the price of stocks (Chowdhury et al 2020). Moreover, the Black-Scholes Option Pricing Model (BSOP) for European option pricing and valuation also plays a notable role in risk management (Edeki et al 2020).…”

Section: The Black-scholes Option Pricing Modelmentioning

confidence: 99%

Value Maximizing Decisions in the Real Estate Market: Real Options Valuation Approach

Čirjevskis

2021

JRFM

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The real estate market of EU countries has undergone a severe global financial crisis 2008–2009, recovered successfully later, and now experiencing significant uncertainty due to the COVID-19 pandemic event. Significant volatility of the real estate business is once again evident, just as it was following the global financial crisis. The paper aims to provide a case study of a real estate project by giving insight into the Latvian real estate project that had been experiencing similar economic uncertainty, to demonstrate hybrid real options valuation (ROV) method to adapt real estate investments to changing circumstances and to develop the decision-making solution to similar EU real estate problems during the pandemic. The paper provides the “step-by-step” ROV application’s methodology in real estate development projects. The presented methodology is a powerful managerial risk management tool for the executives of similar real estate development projects in the EU countries struggling to make investment decisions in the pandemic and post-pandemic period. Since any estimation includes assumptions, ROV results should be interpreted and perceived as approximations only. The future works can provide robust ROV analyses and interpretations regarding the demand for real estate, showing quantitatively how competition can impact strategic investment decisions.

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Predicting the stock price of frontier markets using machine learning and modified Black–Scholes Option pricing model

Cited by 36 publications

References 50 publications

Determination of species of some wood veneers using machine vision

Determination of species of some wood veneers using machine vision

Stock Price Forecasting for Jordan Insurance Companies Amid the COVID-19 Pandemic Utilizing Off-the-Shelf Technical Analysis Methods

Value Maximizing Decisions in the Real Estate Market: Real Options Valuation Approach

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