A TOPSIS-ELM framework for stock index price movement prediction

Article type: Research Article

Authors: Samal, Sidharth | Dash, Rajashree^*

Affiliations: Computer Science and Engineering Department, Siksha O Anusandhan (Deemed to be University), Bhubaneswar, India

Correspondence: [*] Corresponding author: Rajashree Dash, %****␣idt-15-idt200013_temp.tex␣Line␣25␣**** Computer Science and Engineering Department, Siksha O Anusandhan (Deemed to be University), Bhubaneswar, India. Tel.: +91 943 729 2928; E-mail: rajashree_dash@yahoo.co.in.

Abstract: In recent years Extreme Learning Machine (ELM) has gained the interest of various researchers due to its superior generalization and approximation capability. The network architecture and type of activation functions are the two important factors that influence the performance of an ELM. Hence in this study, a Technique for Order of Preference by Similarity to Ideal Solution (TOPSIS) oriented multi-criteria decision making (MCDM) framework is suggested for analyzing various ELM models developed with distinct activation functions with respect to sixteen evaluation criteria. Evaluating the performance of the ELM with respect to multiple criteria instead of single criterion can help in designing a more robust network. The proposed framework is used as a binary classification system for pursuing the problem of stock index price movement prediction. The model is empirically evaluated by using historical data of three stock indices such as BSE SENSEX, S&P 500 and NIFTY 50. The empirical study has disclosed promising results by evaluating ELM with different activation functions as well as multiple criteria.

Keywords: ELM, MCDM, TOPSIS, time series forecasting

DOI: 10.3233/IDT-200013

Journal: Intelligent Decision Technologies, vol. 15, no. 2, pp. 201-220, 2021