The artificial neural networks for investigation of correlation between economic variables and stock market indices

Abstract

‎In this research‎, ‎we investigated the interactive effects between the macroeconomic variables of currency‎, ‎gold‎, ‎and oil on two indicators of total and equal weighted indices considering the importance of correlation between economic variables and stock market indices‎. ‎In this regard‎, ‎the analysis of Pearson correlation and regression coefficients have been used to investigate the existence of an interactive effect among them‎, ‎and a Multi-Layer Perceptron Neural Network (MLP NN) model has been used to simulate this effect‎. ‎The models have been fitted as a time series based on the daily data related to the economic variables and the mentioned indicators during march 2016 to that of 2021‎. ‎Investigating the interactive effects between variables has been done using SPSS statistical software‎, ‎and Artificial Neural Network (ANN) simulation developed in MATLAB programming environment‎. ‎The extracted results indicate the existence of an interactive effect among these economic variables‎. ‎The simulation results show the high ability of ANN in modeling and predicting the total price and equal-weighted indices‎, ‎and this model has been able to make more accurate predictions by considering these interactive effects as well‎.

Keywords

• interactive effect
• total index
• equal weighted index
• modeling
• artificial neural network