A New ANN-Particle Swarm Optimization with Center of Gravity (ANN-PSOCoG) Prediction Model for the Stock Market under the Effect of COVID-19

Since the declaration of COVID-19 as a pandemic, the world stock markets have suffered huge losses prompting investors to limit or avoid these losses. The stock market was one of the businesses that were affected the most. At the same time, artificial neural networks (ANNs) have already been used for the prediction of the closing prices in stock markets. However, standalone ANN has several limitations, resulting in the lower accuracy of the prediction results. Such limitation is resolved using hybrid models. Therefore, a combination of artificial intelligence networks and particle swarm optimization for efficient stock market prediction was reported in the literature. This method predicted the closing prices of the shares traded on the stock market, allowing for the largest profit with the minimum risk. Nevertheless, the results were not that satisfactory. In order to achieve prediction with a high degree of accuracy in a short time, a new improved method called PSOCoG has been proposed in this paper. To design the neural network to minimize processing time and search time and maximize the accuracy of prediction, it is necessary to identify hyperparameter values with precision. PSOCoG has been employed to select the best hyperparameters in order to construct the best neural network. The created network was able to predict the closing price with high accuracy, and the proposed model ANN-PSOCoG showed that it could predict closing price values with an infinitesimal error, outperforming existing models in terms of error ratio and processing time. Using S&P 500 dataset, ANN-PSOCoG outperformed ANN-SPSO in terms of prediction accuracy by approximately 13%, SPSOCOG by approximately 17%, SPSO by approximately 20%, and ANN by approximately 25%. While using DJIA dataset, ANN-PSOCoG outperformed ANN-SPSO in terms of prediction accuracy by approximately 18%, SPSOCOG by approximately 24%, SPSO by approximately 33%, and ANN by approximately 42%. Besides, the proposed model is evaluated under the effect of COVID-19. The results proved the ability of the proposed model to predict the closing price with high accuracy where the values of MAPE, MAE, and RE were very small for S&P 500, GOLD, NASDAQ-100, and CANUSD datasets.

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