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An Investment Decision Support System to Forecast Stock Price Using Hybrid Models: A Case of the Thai Stock Market

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dc.contributor.advisor Dr. Vatcharaporn Esichaikul (Chairperson)
dc.contributor.author Khunanugul, Napadol
dc.contributor.other Prof. Sumanta Guha (Member) Dr. Raphael Duboz ( Member)
dc.date.accessioned 2015-02-10T01:26:44Z
dc.date.available 2015-02-10T01:26:44Z
dc.date.issued 2013-05
dc.identifier.other AIT RSPR no.IM-13-01 en_US
dc.identifier.uri http://www.cs.ait.ac.th/xmlui/handle/123456789/725
dc.description.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. en_US
dc.description.sponsorship Royal Thai Government - AIT Fellowship en_US
dc.publisher AIT en_US
dc.subject Decision support systems (DSS), Stock price forecasting, Classification of forecasting models, Hybrid models, Artificial neural network (ANN), Auto-regressive integrated moving average (ARIMA), Technical Analysis (TA) en_US
dc.title An Investment Decision Support System to Forecast Stock Price Using Hybrid Models: A Case of the Thai Stock Market en_US
dc.type Research Report en_US


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