Hybrid neural network-based metaheuristics for prediction of financial markets: a case study on global gold market

Abstract

Abstract Technical analysis indicators are popular tools in financial markets. These tools help investors to identify buy and sell signals with relatively large errors. The main goal of this study is to develop new practical methods to identify fake signals obtained from technical analysis indicators in the precious metals market. In this paper, we analyze these indicators in different ways based on the recorded signals for 10 months. The main novelty of this research is to propose hybrid neural network-based metaheuristic algorithms for analyzing them accurately while increasing the performance of the signals obtained from technical analysis indicators. We combine a convolutional neural network and a bidirectional gated recurrent unit whose hyperparameters are optimized using the firefly metaheuristic algorithm. To determine and select the most influential variables on the target variable, we use another successful recently developed metaheuristic, namely, the moth-flame optimization algorithm. Finally, we compare the performance of the proposed models with other state-of-the-art single and hybrid deep learning and machine learning methods from the literature. Finally, the main finding is that the proposed neural network-based metaheuristics can be useful as a decision support tool for investors to address and control the enormous uncertainties in the financial and precious metals markets.