Research Papers - Dept of Computer Systems Engineering

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    PublicationOpen Access
    Forecasting accuracy of Holt-Winters Exponential Smoothing: evidence from New Zealand.
    (New Zealand Journal of Applied Business Research, 2020) Dassanayake, W; Ardekani, I; Jayawardena, C; Sharifzadeh, H; Gamage, N
    Financial time series is volatile, dynamic, nonlinear, nonparametric, and chaotic. Accurate forecasting of stock market prices and indices is always challenging and complex endeavour in time series analysis. Accurate predictions of stock market price movements could bring benefits to different types of investors and other stakeholders to make the right trading strategies. Adopting a technical analysis perspective, this study examines the predictive power of Holt-Winters Exponential Smoothing (HWES) methodology by testing the models on the New Zealand stock market (S&P/NZX50) Index. Daily time-series data ranging from January 2009 to December 2017 are used in this study. The forecasting performance of the investigated models is evaluated using the root mean square error (RMSE], mean absolute error (MAE) and mean absolute percentage error (MAPE). Employing HWES on the undifferenced S&P/NZX50 Index (model 1) and HWES on the differenced S&P/NZX50 Index (model 2) we find that model 1 is the superior predictive algorithm for the experimental dataset. When the tested models are evaluated overtime of the sample period we find the supportive evidence to our original findings. The evaluated HWES models could be employed effectively to predict the time series of other stock markets or the same index for diverse periods (windows) if substantiate algorithm training is carried out.
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    PublicationEmbargo
    Effectiveness of Stock Index Forecasting using ARIMA model: Evidence from New Zealand
    (2021 3rd International Conference on Advancements in Computing (ICAC), SLIIT, 2021-12-09) Dassanayake, W.; Ardekani, I.; Gamage, N.; Jayawardena, C.; Sharifzadeh, H.
    Time series of stock market indices are dynamic, interdependent, and considered sensitive to many factors. Thus, the prediction of such indexes is always challenging. A comprehensive review carried out by the authors finds that no attempts have yet been carried out to test ARIMA models’ predictive efficacy applied to the New Zealand financial markets. Thus, technical analysis based ARIMA prediction models are developed and empirically tested on the New Zealand stock market (NZX50) index. Daily NZX50 index data are used, and the forecasting precision of the models is assessed based on Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and Root Mean Square Error (RMSE]. Our study finds that ARIMA (1, 1, 0) plus intercept is the best order forecasting model out of the models we examined. Once a substantiate algorithm training is implemented, formulated ARIMA models could be successfully employed to forecast the time series of other stock market indexes or the same index for varied periods. Future researchers could compare the forecasting efficiencies of ARIMA with a deep-learning model such as long short-term memory (LSTM). The presence of limited published research of ARIMA applied to the financial markets of New Zealand validates the need and the contribution of this paper.