Neural Computing and Applications (2021) 33:5965–5987

https://doi.org/10.1007/s00521-020-05374-9 (0123456789().,-volV)(0123456789().
,- volV)

ORIGINAL ARTICLE

Assess deep learning models for Egyptian exchange prediction using

nonlinear artificial neural networks
Essam H. Houssein1 • Mahmoud Dirar1 • Kashif Hussain2 • Waleed M. Mohamed1

Received: 6 April 2020 / Accepted: 18 September 2020 / Published online: 26 September 2020
Ó Springer-Verlag London Ltd., part of Springer Nature 2020

Abstract
Financial analysis of the stock market using the historical data is the exigent demand in business and academia. This work
explores the efficiency of three deep learning (Dl) techniques, namely Bayesian regularization (BE), Levenberg–Marquardt
(lM), and scaled conjugate gradient (SCG), for training nonlinear autoregressive artificial neural networks (NARX) for
predicting specifically the closing price of the Egyptian Stock Exchange indices (EGX-30, EGX-30-Capped, EGX-50-
EWI, EGX-70, EGX-100, and NIlE). An empirical comparison is established among the experimented prediction models
considering all techniques for the time horizon of 1 day, 3 days, 5 days, 7 days, 5 days and 30 days in advance, applying on
all the datasets used in this study. For performance evaluation, statistical measures such as mean squared error (MSE) and
correlation R are used. From the simulation result, it can be clearly suggested that BR outperforms other models for short-
term prediction especially for 3 days ahead. On the other hand, lM generates better prediction accuracy than BR- and SCG-
based models for long-term prediction, especially for 7-day prediction.

Keywords Artificial neural networks  Autoregressive  Bayesian regularization  Deep learning  Egyptian stock market 
Levenberg–Marquardt  Stock price prediction

1 Introduction political situations, and inflation combine to put several

stacks at risk. This demands efficient stock price prediction
Financial projections and business predictions are of sig- tools, in order for decision-makers to form the basis for
nificant importance for capital investment industry, but due profitable and well-informed investment decisions.
to several tangible and intangible factors, highly fluctuating Recently, stock price prediction has been an important
trends are observed in stock markets, making the prediction research area where researchers have exploited the enticing
a challenging task. These volatile economic and noneco- benefits of machine learning methods [1], because the
nomic factors including random exchange rates, changing traditional statistical methods (regression, autoregressive
integrated moving average, exponential average, etc.) often
fail to produce accurate predictions when involved multiple
& Essam H. Houssein nonlinear characteristics [2]. Moreover, these methods are
essam.halim@mu.edu.eg
limited to stationary time-series data, which is not the case
Mahmoud Dirar with stock market prices. Potential random changes in
mahmoddirar@mu.edu.eg
stock prices manifest random and highly dynamic behavior
Kashif Hussain which is hard to predict [3]. In machine learning paradigm,
k.hussain@uestc.edu.cn
stock price prediction models have been developed using
Waleed M. Mohamed support vector machines (SVM) [4], neural networks (NN)
waleedmakram@minia.edu.eg
[5], fuzzy logic networks [6], metaheuristic algorithms [7],
1
Faculty of Computers and Information, Minia University, etc. Additionally, deep learning, being the latest trend in
Minia, Egypt machine learning with the ability to effectively map input–
2
Institute of Fundamental and Frontier Sciences, University of output relationships, has reshaped the predictive modeling
Electronic Science and Technology of China, Chengdu, by enabling trading systems to predict stock prices more
Sichuan, China

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5966
accurately [8]. This is because, in business applications,
deep learning methods do not heavily rely on sizable past
data related to economic and behavioral assumptions, but
deduce high-level features automatically.
Therefore, there is growing interest in applying deep
learning methods in finance domain, and literature shows
varying degrees of success in this regard. Since perfor-
mance of the deep learning network is largely dependent on
the training methods, an appropriate training mechanism is
important to be adopted [9]. In this regard, unlike con-
ventional neural network models, nonlinear autoregressive
with exogenous (NARX) multivariate input is more suit-
able for nonlinear systems or time-series data like stock
market prices, because of exogenous inputs generated
externally using network feedback as in recurrent neural
networks (RNN). This ability of NARX makes learning
better than other feed-forward neural networks and enables
it converge comparatively faster with better generalization
[10].
An array of practical applications found in the literature
suggests that NARX has demonstrated potential approxi-
mation ability for highly nonlinear systems in prediction
domain. For instance, groundwater prediction [11], photo-
voltaic power production prediction [12], indoor tempera-
ture prediction [13], driver fatigue prediction [14],
riverbank erosion rate prediction [15], cloud datacenter
workload forecasting [16] are few promising applications
to be listed. Specifically, NARX-based models for stock
markets are also put forward by Yu and Yan [17], Das et al.
[18], Matkovskyy and Bouraoui [19], etc. Though, until
recently, there is a considerable gap, or in other words,
demand for building more efficient NARX-based predict-
ing models for stock price prediction, specially focusing on
training methodologies, is realized. In the existing research,
the academic researchers have proposed different algo-
rithms such as Bayesian regularization (BR), Levenberg–
Marquardt (lM), and scaled conjugate gradient (SCG) for
NARX training.
The sufficient ability of NARX in prediction problems
in the existing research motivates this study to implement
the network for predicting stock prices for The Egyptian
Exchange (EGX). The learning efficiency of the training
algorithms BR, lM, and SCG is evaluated on real-world
dataset. The contributions of this study to the existing lit-
erature are summarized as follows:
– Nonlinear autoregressive neural network with exoge-
nous (NARX) inputs trained by three different algo-
rithms, namely Bayesian regularization (BR),
Levenberg–Marquardt (lM), and scaled conjugate gra-
dient (SCG), is proposed to predict close price, for both
short-term (1, 3, and 5) day(s) and long-term (7, 15, and
30 ) day(s) prediction.
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Neural Computing and Applications (2021) 33:5965–5987
– R and mean square error (MSE) are used to measure
model performance.
– The accuracy rates varying depending on the type of
algorithm and the type of data on which the model was
trained lM and BR have equal number of times when
the error is minimum, whereas lM performs well on
EGX-30, EGX-50-EWI, EGX-70 indices when time
period is equal to 5, 5, 3 day(s), respectively. BR
achieves minimum error on EGX-30-Capped, EGX-
100,NIlE indices when time period is equal to 3, 1, 1
day(s), respectively.
– Simulation study with new real data from the Egypt
Exchange (EGX-30, EGX-30-Capped, EGX-50-EWI,
EGX-70, EGX-100, and NIlE) indices exhibits that the
proposed NARX model offers superior performance for
both short- and long-term predictions.
The paper is set out as follows: Sect. 2 reviews previous
research in the similar domain. Section 3 deals with basic
principles of NARX, BR, lM, and SCG algorithms. The
proposed model framework and configurations are
explained in Sect. 4. Section 5 includes data description,
evaluation criteria used to measure accuracy and results
analysis and discussion. Finally, the conclusion is drawn in
Sect. 6.
2 Literature review
Neural networks (NNs) are the promising technology used
by numerous researchers for developing multiple predic-
tion models, particularly in the field of financial analysis.
For future stock price prediction, backpropagation neural
networks (BPNN), recurrent neural networks (RNN), long
shorter-term memory (lSTM), etc., have been effectively
used by research community with the provision for the next
day to be forecasted from a day to a month. In this section,
some of the important works related to stock market pre-
diction presented recently are reported.
While considering deep learning methods, there is still
significant gap in the domain of stock market prediction,
even though there has been resurgence of interest in this
area. A brief literature outlook suggests that not much work
has been performed by the relevant research community in
this field, and only a few works can be found. For example,
Yu and Yan [17] addressed the stock price prediction
problem keeping in view several stock indices around the
world, including S&P 500, Nikkei 225, and ChiNext
obtained from the relevant sources. The researchers used
deep NN with lSTM which demonstrated better overall
prediction accuracy, MSE, MAPE, and correlation coeffi-
cients as compared to ARIMA, deep multilayer percep-
tions, and others. In a separate study, Araújo at al. [20]
Neural Computing and Applications (2021) 33:5965–5987 5967

Table 1 Summary of some literature studies for stock price prediction

References Year Data Period Target Measure Technique

[17] 2019 S&P 500, DJIA, N225, 2008–2017 Close price DA%, MRSE, MAPE, DNN, lSTM
ChiNext, HIS, CSI300 2010–2017 R
[20] 2019 CAC, DAX, DJIA, HS, IBOV 2013–2017 Close price AVR, MAPE, MSE, DIDlP
MER, NASDAQ, NK, NYSE POCID, THEIl
[24] 2019 EREGl, ECIlC, AFYON 2013–2015 Stock price MAPE, MAE, RMSE, HS-NN, HS-JRNN, HS-ElM
TheilU, DS HS-RElM, HS-GlM, HS-RT, HS-
GPR
[25] 2019 Reliance Private limited 2017–2018 Stock price MSE, MAPE ANN
[32] 2019 S&P 500, AAPl, TSlA, Close price MSE RNN-lSTM
GOOG
[33] 2019 Dhaka stock exchange (DSE) Close price MSE, RMSE, MACD RNN, lSTM, GRU, ARIMA
[34] 2019 SPDR S&P 500 ETF Trust 2016–2017 Stock price RMSE, RMAE, MAPE lSTM, CNN
(SPY)
[35] 2019 Guangdong enterprises- 2014–2016 Stock price MSE BPNN
Shenzhen
[36] 2019 NSE, India 2009–2018 Open price MAE, RMSE RNN-lSTM
[19] 2018 Tunisia Stock 2000–2014 IFS MSE, R NARX
[27] 2018 Casablanca Stock Close price MSE RNN-PCA, RNN
[37] 2018 BSE, NSE Open price MSE ANN
[38] 2018 KOSPI200, S&P 500 2000–2017 Close price MSE, MAPE, MAE lSTM
[39] 2018 Crystal Technology, Ming 2006–2016 Close price MSE, DA ElSTM, AElSTM
Shares
[40] 2018 S&P 500, DJIA 2010–2017 Open price Hit ratio ISCA-BPNN
[41] 2018 NSE 1996–2017 Close price MAPE MlP, RNN, lSTM, CNN
NYSE 2011–2016
[42] 2018 HIS, DAX, S&P 500 1991–2017 Close price Accuracy GRU
[43] 2018 S&P BSEBANKEX 2005–2017 Close price RMSE, DA, MdAPE lSTM, GRU, CNN, ElM
[21] 2017 Korean stock 2010–2014 Stock price NMSE, RMSE, MAE, DNN, ANN, AR, AR-DNN, DNN-
MI AR
[22] 2017 BSE, DJIA, NASDAQ, FTSE 2000–2014 Close price Average, STD ACRNN
TAIEX, S&P 500, lSE Min, Max, POCID
[23] 2017 USD to (JPY, GBP, EUR, Volatility MSE, Dstat PSO-QRNN
INR),
S&P 500 and NSE TheilU
[28] 2017 S&P 500 Index ETF (SPY) 2003–2013 Closing MSE, confusion matrix ANN-PCA, ANN-FRPCA, ANN-
price KPCA
[26] 2016 NASDAQ 1 : 6–2015 Stock price MSE, RSquare BPNN
[44] 2016 The Nikkei 225—Tokyo 1993–2013 Stock price MSE BPNN
Stock

argued that traditional NN techniques fail to produce effi-
cient financial prediction results due to limitations when
applied on daily frequency forecast. To address the issue,
the authors presented a deep NN with each layer composed
of increasing–decreasing–linear processing neurons. The
efficacy of the presented model was validated on 12 dif-
ferent stock market datasets, against some of the recently
introduced predictive techniques reported in the literature.
In another comprehensive study by Chong et al. [21], deep
learning NN turned out to be promising tool for predicting
Korean KOSPI stock market.
Apart from deep learning approach, the researchers in
the area of stock market have utilized ANN methods
trained or optimized by metaheuristic algorithms. In this
context, Nayak et al. [22] trained NN by artificial chemical
reaction optimization (ACRO), hence named ACRNN, and
applied it on seven different stock indices inclusive of
NASDAQ and S&P with three difference prediction

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5968
Fig. 1 NARX general architecture [47]
scenarios of short term, medium term, and long term. The
closing price prediction accuracy of the designed ACRNN
was found better than multilayer perceptions, because the
integration of ACRO for weight and bias optimization
instead of gradient-based learning proved to be promising
training approach. In a different work, a quantile regression
NN (QRNN) was trained by particle swarm optimization
(PSO), so-called PSOQRNN, by Dadabada and Vadlamani
[23] for closing prices of S&P 500 and NSE Indian Stock
Index. According to the findings, the authors claimed that
the proposed method outperformed statistical and NN-
based methods like MlP and QRNN. likewise, [24]
deployed a variety of NN models, tuned by harmony search
(HS) algorithm, for finding the most suitable model
architecture while predicting stock price for 1, 2, 3, 5, 7,
and 10 day(s) ahead. The study was conducted by devel-
oping different prediction systems including HS-NN, HS-
RNN, HS-ElM (extreme learning machine), and others.
The researchers claimed usefulness of the study in terms of
multiple important factors like comprehension on
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Neural Computing and Applications (2021) 33:5965–5987
prediction model design, and conditions affect prediction
accuracy.
There is evidenced limited research where lM, SCG, or
BR algorithms have been utilized for the training of ANN-
based models; for example, Selvamuthu et al. [25] pro-
posed such methodology for predicting Indian stock mar-
ket. The model performances were measured using use
MSE, mean absolute percentage error (MAPE). The study
contended to have achieved accuracy up to 99.9% using
tick data. Moghaddam et al. [26] also managed to train
ANN with lM for improved prediction results of daily
stock exchange rates of NASDAQ index.
A combination of principal component analysis (PCA)
and ANN has also been duly formulated in the existing
research where the prior method is used for feature
reduction and the latter for prediction. For example, Ber-
radi and lazaar [27] applied this said synthesis on Total
Maroc from Casablanca stock exchange, and Zhong and
Enke [28] used the approach for daily market prediction
with 36 datasets. An effective integration of different
Neural Computing and Applications (2021) 33:5965–5987
machine learning algorithms was also found by Patel et al.
[29] who developed a fusion of SVM, ANN, and random
forest (RF) for predicting stock prices for the indices of
CNX Nifty and S&P Bombay Stock Exchange (BSE)
Sensex from Indian stock markets.
Hushani [30] compared the performance of statistical
and NN-based methods and found that NARX provided
more accurate results than ARIMA, VAR (vector autore-
gression), and lSTM while predicting NASDAQ closing
prices. A similar approach is found in [31] where NARX
trained by lM was used to predict closing stock prices. For
effective training, the authors used three inputs: stock
price, its highest, and the lowest price.
From limited literature survey, it seems that NARX with
applications related to stock price prediction has not been
much witnessed in profound publishing venues. Therefore,
it can be assumed that there is a need for finding more
authentic results using NARX methodology in the sub-
jected domain. In this context, Table 1 shows summary of
some recent studies for stock price prediction, to verify the
argument put forward. The first column refers to authors,
the second column is the year of publication, the third
column shows datasets used in the experiments, the forth
column shows the duration for data, the fifth column shows
reports target from modeling, and the six column shows
measures and metric used to evaluate model performance,
whereas the last column refers to the proposed techniques.
The studies are group based on the proposed model. From
Table 1, we can see that the prediction of close price is the
most common target and MSE is the most common eval-
uation metric. Therefore, in our study, we focus on pre-
dicting close price, and using MSE, and R as evaluation
metric. Moreover, a NARX model trained by means of
Levenberg–Marquardt algorithm was chosen, as the exist-
ing studies reveal that the NARX models are suitable for
performing short time-series composite indexes prediction.
3 Materials and methods
This section provides an explanation of nonlinear autore-
gressive neural network with exogenous (NARX) input
model architecture, and its training algorithms such as
Bayesian regularization (BR), Levenberg–Marquardt (lM),
and scaled conjugate gradient (SCCG), as these algorithms
are able to generate lower mean squared error than the
gradient-based learning methods.
3.1 Nonlinear autoregressive neural network
with exogenous (NARX) input
NARX is a type of recurrent neural network (RNN) with
one or more feedback loops [45], and it outperforms RNN
5969
in the case of predicting time series or nonlinear problems
[46]. The architecture of NARX provides limited feedback
from the output layers instead of hidden layers. Figure 1
illustrates NARX architecture. The RNN is useful because
maintains reasoning about previous events in a task for
informing latter. Because it is a network with inbuilt loops
within its layers, it allows to retain the information.
Specifically, NARX is designed to build time-series pre-
diction models with better predictions capability than the
general NN models with fuðnÞ; uðn  1Þ; . . .g as inputs to
get fyðn þ 1Þ; yðnÞ; . . .g as outputs, as it employs the
additional information contained in the series of interest
fyðn þ 1Þ; yðnÞ; . . .g that has already been output at time
step n, and both the basic and unrolled structures of a
general NARX as an update and improvement to a general
RNN. Since a general NARX nonlinearly predicts future
values fyðn þ 1Þg of a time series fyðn þ 1Þ; yðnÞ; . . .g
from not only past values of that time series but also past
values of a second time series fuðn  1Þ; uðn  2Þ; . . .g. It
then also considers updating and improving the classic
autoregressive (AR) model which specifies that the output
variable fyðn þ 1Þg depends linearly on its own previous
values fyðn þ 1Þ; yðnÞ; . . .g and on a stochastic term (an
imperfectly predictable term). This justifies why this form
of prediction is called nonlinear autoregressive with
exogenous (external) input or NARX.
Let us assume an RNN with single input and output,
described by Eqs. (1) and (2). It can be equivalently
modeled with a representation of the neural network as:
xðn þ 1Þ ¼ /½Wa xðnÞ þ wb uðnÞ ð1Þ
T
y ð nÞ ¼ c x ð nÞ ð2Þ
Using Eqs. (1) and (2), it can be easily said that the output
yðn þ qÞ is expressed in terms of the state xðnÞ and the
input vector uq ðnÞ as:
 
yðn þ qÞ ¼ U xðnÞ; uq ðnÞ ð3Þ
where q is the dimensional form of the model and
U : Rq ! R. Since the recurrent network is observable,
the local observability theorem can be written as:
 
xðnÞ ¼ W yp ðnÞ; uq1 ðnÞ ð4Þ
where W : Rq ! R: Hence, substituting Eq. (3) in
Eq. (4), it is obtained as:
   
yðn þ qÞ ¼ U W yp ðnÞ; uq1 ðnÞ ; uq ðnÞ
  ð5Þ
¼ F yq ðnÞ; uq ðnÞ
where uq1 ðnÞ is contained in uq ðnÞ as its first elements
ðq  1Þ, and the nonlinear mapping F : Rq ! R takes care
of both / and W.
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5970 Neural Computing and Applications (2021) 33:5965–5987

Fig. 2 Framework of the proposed model

Table 2 Parameter settings  

yðnÞ; . . .; yðn  q þ 1Þ;
Parameter Setting
y ð n þ 1Þ ¼ F ð9Þ
uðnÞ; . . .; uðn  q þ 1Þ
Number of input neuron(s) Six Note that some nonlinear mapping F : Rq ! R exists
Number of output neuron(s) One whereby the present output yðn þ 1Þ is defined in past
Delays 1, 3, 5, 7, 15, and 30 values yðnÞ; . . .; yðn  q þ 1Þ and the present and past input
Proportion of training, 70%:15%:15% uðnÞ;    ; uðn  q þ 1Þ. This input–output representation is
validation and test dataset equivalent to the model via Eqs. (1) and (2).
Training algorithm BR, lM, and SCG The function f ðÞ is a nonlinear vector function also for
Error function(s) MSE NARX model with one time series, represented as Eq. (10)
Accuracy Correlation coefficient R "
XNh Xdu
Type of learning rule Supervised learning rule yðn þ 1Þ ¼ f0 b0 þ who fh ðbh þ wih uðn  iÞ
h¼1 i¼0
dy
!#
X
uq1 ðnÞ ¼ ½uðnÞ; uðn þ 1Þ;    ; uðn þ q  2ÞT ð6Þ þ wjh yðn  jÞ
T j¼0
yp ðnÞ ¼ ½yðnÞ; yðn þ 1Þ;    ; yðn þ q  1Þ ð7Þ
ð10Þ
Using the definitions of yp ðnÞ and uq ðnÞ given in Eqs. (6)
where wih represents weights from the input layer to the
and (7), we may rewrite Eq. (5) in the expanded form: hidden layer, who weights from hidden layer to output
 
yðn þ q  1Þ; . . .; yðnÞ; layer, and wjh weights from output feedback layer to the
y ð n þ qÞ ¼ F ð8Þ
uðn þ q  1Þ; . . .; uðnÞ hidden layer. b0 and bh are the biases. fh is a function of the
hidden layer, and f0 is a function of the output layer.
and replace n with n  q þ 1; then,

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3.2 Levenberg–Marquardt
Levenberg–Marquardt (lM) is a modified version of
Gauss–Newton method [48], but is a easy-to-implement
and useful training method for neural networks. As against
backpropagation training, solutions in Hessian-based
algorithms are generated by learning subtle features; hence,
convergence is achieved in a faster manner.
The approach for updating NN weights is expressed as
follows:
Dw ¼ ðH þ lIÞ1 g ð11Þ
where g denotes to gradient vector, H the approximated
Hessian matrix, I identity matrix, and l adjustable learning
rate or parameter. Based on evaluation matrix, such as
squared error, this parameter is updated during learning
steps. In the case of decreased error rate, l ¼ l  b;
otherwise, l ¼ lb ; ð0\b\1Þ.
The lM algorithm approximates the initial parameters
values to the desirable optimum values, based on the
training set. The validation set is then used to validate
whether the network performance is suitable. On the other
hand, the test further verifies the generalization ability of
the network, but it does not have any influence on training.
The process of parameter optimization terminates as soon
as the maximum number of iterations is met, or the per-
formance evaluation metric falls below desirable value
[49].
3.3 Scaled conjugate gradient
Scaled conjugate gradient (SCG) is a supervised learning
algorithm that Møller developed in 1993 [50], which is
used to optimize neural network weights and biases based
on conjugate directions and then evaluate error by ana-
lyzing forecast and actual values. The main goal is to make
prediction so close to the real values as much as possible;
in other words, the calculated error should be close to 0
[51].
SCG was founded according to conjugate directions but
does not execute a line search for each iteration except for
majority of the conjugate gradient algorithms. As with line
search network, responses are often calculated for all
training inputs to any search, which is computationally
expensive. Its training process also works in similar fashion
as lM, discussed earlier.
3.4 Bayesian regularization
Bayesian regularization (BR) is another learning mecha-
nism for ANN, which serves as an alternative to gradient
5971
descent method developed by [52] in 1992. The purpose is
to reduce the objective function error f using:
f ¼ bhd þ ahr ð12Þ
where hd is the sum of squared errors, whereas hr repre-
sents squared sum of network weights. Here, a and b
denote objective function parameters.
BR is considered an efficient training algorithm for
ANN because it omits the need for exhaustive cross-vali-
dation process. It converts a nonlinear problem into sta-
tistical problem by considering it in a probabilistic
characteristic of NN weights in relation to dataset in hand.
A greater detail about BR can be found in [53], as we keep
it short for curbing the paper length.
4 The proposed NARX model
The NARX network can be employed in multiple-input and
multiple-output time-series applications [54]. However,
this study considers open price, low price, and high price as
inputs, and close price as target output. Therefore, the
general NARX with three inputs and one output can be
mathematically expressed as Eq. (13) [47]:
"
XN
yðn þ 1Þ ¼ f0 b0 þ who  fh bh
h¼1
X
du1 X
du2
þ wi1h u1 ðn  i1Þ þ wi2h u2 ðn  i2Þ
i1¼0 i2¼0
!#
X
du3 dy
X
þ wi3h u3 ðn  i3Þ þ wjh yðn  jÞ
i3¼0 j¼0
ð13Þ
where wi1h is the weight between input and the hidden
neurons, wi2h is the weight between second input and the
hidden neurons, whereas wi3h is the weight between third
input and the hidden neurons.
Figure 2 illustrates the proposed framework to predict
close price of Egyptian exchange. It has five main steps.
The first step is to normalize the stock data as in Eq. (14),
in order to enhance the prediction results, before data are
divided into three sets: training set coded by orange color,
validation set coded by blue color, and test set coded by
green color. The second step is defining NARX architec-
ture by setting the number of neurons and delay.
As mentioned in the study [55], it is suitable to develop
the simplest network architecture for carrying out the stock
forecasting task. Accordingly, we start with six hidden
neurons and gradually add the hidden neurons until limited
improvement in mean square error (MSE) is witnessed.
The results with the number of neurons from 6 to 25 affirm
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Table 3 Description of data samples and data range
Datasets Time duration Total samples
EGX-30-Capped February 03, 2019–August 27, 2019 135
EGX-50-EWI August 02, 2015–August 27, 2019 990
NIlE February 02, 2014–August 27, 2019 1356
EGX-70 November 27, 2009–August 27, 2019 2527
EGX-100 August 02, 2009–August 27, 2019 2422
EGX-30 March 01, 2008–August 27, 2019 2587
Table 4 Description of used parameters
Parameter Description
Open price The price in the beginning of daily dealing
High price The highest price reached by the end of daily dealing
low price The lowest price reached by the end of daily dealing
Close price The price in the end of daily dealing
that from 6–14, 16–19, and 21–25 neurons generate similar
accuracy. In the mentioned study, when they used 15
neurons, the accuracy decreased; in the case of 19–23,
accuracy slightly increased. Hence, the architecture with
3–6–1 with three inputs, a hidden layer with six neurons
including bias, and an output reduces the training and
model approximation cost. For delay, we carried out dif-
ferent prediction time horizons such as 1 day, 3 days, 5
days, 7 days, 15 days, and 30 days
The third step is selection of the training algorithm. In
this study, Bayesian regularization (BR), Levenberg–Mar-
quardt (lM), and scaled conjugate gradient (SCG) are used
to train the NARX network. The orange dashed line pre-
sents training data, and the blue dashed line represents
validation data. BR uses validation data with training data
to train the model. The fourth step is to test model by
performing prediction on the test set and evaluate model
accuracy using MSE and correlation coefficient R. In order
to ensure model accuracy, training and validation data are
used with test data in order to test and evaluate the model.
The green line in Fig. 1 presents test data, the orange line
presents training data, and the blue line denotes validation
data. The last step is to compare prediction results if it is
acceptable so the task ends; otherwise, return to step 2 and
modify the NARX architecture. The parameter settings of
used techniques are reported in Table 2.
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Neural Computing and Applications (2021) 33:5965–5987
Training samples Validation samples Test samples
94 20 20
693 148 148
949 203 203
1768 379 379
1695 363 363
1810 388 388
5 Experimental results
5.1 Data description
This study is based on the historical data for some of the
indicators on the Egyptian Stock Exchange (EGX), in order
to build a prediction model with high accuracy. Data used
in this study are purchased from Egypt for Information
Dissemination (EGID)1 which is a Governmental organi-
zation that provides data for EGX. The data contain six
stock market indices; for example, EGX-30 index local
currency is used for interest estimates and denominated in
US dollars. It measures top 30 firms in liquidity and
activity. The second index used in this study is EGX-30-
Capped which is designed to track performance of the most
traded companies in accordance with the rules set for
mutual funds. The third index is EGX-70 which aims at
providing wider tools for investors to monitor market
performance. EGX-100 index as a forth dataset evaluates
performance of the 100 active firms, including 30 of EGX-
30 index as well as 70 of EGX-70 index. NIlE index avoids
concentration on one industry and therefore has a good
representation of various industries/sectors in the economy,
and the index is weighted by market capitalization and
adjusted by free float. The last index is EGX-50-EWI
which tracks top 50 companies in terms of liquidity and
activity. The index is designed to balance the impact of
price changes among the constituents of the index as they
will have a fixed weight of 2% at each quarterly review.
The historical period of data in the study starts from
EGID registration of these data to date August 27, 20192 as
shown in Table 3. The data contain eight features: code,
date, open price, high price, low price, close price, volume,
and value. This study uses open price, high price, and low
price as input features, and close price as target feature, as
shown in Table 4.
1
www.egidegypt.com.
2
www.egx.com.eg.
Neural Computing and Applications (2021) 33:5965–5987 5973

100
99.96

99.94 98

99.92
96
99.9
Accuracy

Accuracy
99.88 94

99.86
92
99.84

99.82 90

99.8
88
99.78

BR LM SCG BR LM SCG
Algorithms Algorithms
(a) Boxplot on EGX-30. (b) Boxplot on EGX-30-Capped.

99.9
99.94

99.92 99.8

99.9
99.7
99.88
Accuracy

Accuracy

99.6
99.86

99.84 99.5

99.82
99.4
99.8

99.3
99.78

BR LM SCG BR LM SCG
Algorithms Algorithms
(c) Boxplot on EGX-50-EWI. (d) Boxplot on EGX-70.

99.98

99.96 99.9

99.94
99.85
99.92

99.9 99.8
Accuracy

Accuracy

99.88
99.75
99.86
99.7
99.84

99.82
99.65
99.8
99.6
99.78
BR LM SCG BR LM SCG
Algorithms Algorithms
(e) Boxplot on EGX-100. (f) Boxplot on NIlE.

Fig. 3 Boxplot for 1-, 3-, 5-, 7-, 15-, 30-day-ahead prediction based on data and training algorithms

123
5974 Neural Computing and Applications (2021) 33:5965–5987

BR LM SCG BR LM SCG – Mean squared error (MSE) measures the average of

1 day
0.00030
1 day
0.00250
squared errors. An squared error is the squared
0.00025
0.00020
0.00200 difference between the estimated values and the actual
0.00150
30 days 0.00015 3 days 30 days
0.00100
3 days value. The objective of the learning algorithm is to
0.00010
0.00005 0.00050 minimize MSE. Mathematically, MSE is measured as
0.00000 0.00000
Eq. (15):
15 days 5 days 15 days 5 days 1 n 2
MSE ¼ R yi  yi ð15Þ
n i¼1
7 days 7 days

(a) MSE on EGX-30. (b) MSE on EGX-30-Capped. where y is the actual value and y is the predicted value.
– Regression R value (Pearson correlation coefficient)
BR LM SCG BR LM SCG measures the correlation between actual and the
1 day 1 day
0.00035 0.00100 predicted prices as expressed in Eq. (16):
0.00030
0.00025
0.00080 Pn
30 days 0.00020 3 days 30 days
0.00060
3 days t¼1 ðyt  yt Þðyt  yt Þ
0.00015 0.00040 R ¼ qffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi
Pn ffi ð16Þ
0.00010 2 2
0.00005
0.00000
0.00020
0.00000
ð
t¼1 t 
y  y t Þ ðyt  y t Þ

15 days 5 days 15 days 5 days where yt is the actual price and yt is the predicted price
[17].
7 days 7 days It is important to note that the lower the MSE and the
(c) MSE on EGX-50-EWI. (d) MSE on EGX-70. closer to 1 is R, the more reliable are the prediction results.
BR LM SCG BR LM SCG
1 day 1 day 5.4 Results analysis
0.00030 0.00035
0.00025 0.00030
0.00020 0.00025
30 days 0.00015 3 days 30 days 0.00020
0.00015
3 days Analyzing the stock market is one of the important tasks,
0.00010
0.00005
0.00010
0.00005
where many methods have been proposed by the
0.00000 0.00000
researchers to predict stock price with the expectations of
15 days 5 days 15 days 5 days
getting predicted results closer to the actual value. The
experimental design includes two main factors: forecast
7 days 7 days
time horizon and the training algorithm. We obtained 108
(e) MSE on EGX-100. (f) MSE on NIlE. individual prediction results: across six financial markets
(EGX-30, EGX-30-Capped, EGX-50-EWI, EGX-70, EGX-
Fig. 4 MSE Comparison for 1-, 3-, 5-, 7-, 15-, 30-day-ahead 100, and NIlE)  6 forecast time horizons  3 model
prediction based on data and training algorithms using radar chart specifications (BR, lM, and SCG). Each dataset was divi-
ded into training, validation, and testing sets with the ratio
5.2 Data preprocessing of 70:15:15. The results enabled us to compare the fore-
casting accuracy across different time intervals. The
According to Demuth et al. [56], it is often helpful for the experiments were carried out on a PC with Intel Core i7-
training algorithms to perform well when the inputs and the 7500 CPU 2.70 GHz, 12 GB RAM, Windows 10, and
target values are scaled in the range of ½1; 1. Following MATLAB 2016b. This section is divided into two sub-
the argument for the enhanced prediction results, we nor- sections: first, we report short-term predictions (1 day, 3
malized our data using minimum scale function [57], as days, and 5-days) followed by the long-term predictions (7
Eq. (14): days, 15 days, and 30 days). In order to curb paper length,
we report only the best results with fair comparison.
xi  minðxÞ
x^i ¼ ; i 2 ½1; 2; . . .; n ð14Þ Figure 3 displays the distribution of model accuracy,
maxðxÞ  minðxÞ
using the box plots, across all time horizons among dif-
where x^i is a normalized value at index i in total n samples. ferent model specifications. For EGX-30 and EGX-30-
Capped, the experimental findings reveal that BR outper-
5.3 Evaluation metrics formed lM and SCG (Fig. 3a), while lM gave best results
on rest of the datasets. The results show that BR outper-
The following measures are used to validate and evaluate formed other models by average accuracy of 99.96% and
the proposed approach: 99.32% for EGX-30 and EGX-30-Capped, respectively. On
the other hand, the average accuracy produced by lM

123
Neural Computing and Applications (2021) 33:5965–5987 5975

Fig. 5 Accuracy R for 1-, 3-, 5-, BR LM SCG

7-, 15-, 30-day-ahead prediction 100.00%
for EGX-30 and EGX-30- 99.95570%
Capped, where blue curve 99.95730% 99.96010% 99.96030%
99.97% 99.95690% 99.95450%
represents BR, the orange curve
is lM, and the gray curve is SCG
99.95620%
(color figure online) 99.94%
99.94980% 99.95000%99.95380%
99.94490%
99.94630% 99.93710%
99.91%
99.93630% 99.88580%

ACCURACY
99.91200% 99.91680%
99.88%

99.85%

99.82%

99.79%

99.76%
99.74760%

99.73%
1 3 5 7 15 30
DAYS
(a) Accuracy R on EGX-30.

BR LM SCG
100.00%
98.59620% 99.09490% 98.65720% 98.72820%
97.85480% 98.30510%
98.00% 98.80510%
97.66170% 97.34790%
97.20340%
96.00% 97.85850% 97.89390%
96.62380% 96.76850%
ACCURACY

94.00%
94.64870%
95.06190%
90.32050%
92.00%

90.00%

88.00% 87.25750%

86.00%
1 3 5 7 15 30
DAYS
(b) Accuracy R on EGX-30-Capped.

remained 99.92%, 99.85%, 99.95% and 99.89% for EGX-
50-EWI, EGX-70, EGX-100 and NIlE, respectively. It can
be inferred from the findings that the lM algorithm was
more accurate as compared to BR. Overall, lM and BR
were able to obtain lower mean squared errors than SCG.
For prediction accuracy, Figs. 5, 6, and 7 show accuracy
distribution based on datasets, where y-axis refers to
accuracy and the x-axis is the prediction time horizon.
From Fig. 5a and b, we can see that the short-term accu-
racy increased by increasing the prediction period and
decreased by increasing the prediction time period for the
long term. Figure 7b reveals that, in general, accuracy
decreased by increasing prediction period for the two long-
and short-term predictions.
In addition, we use radar charts representing MSE across
all time horizons among different models, using Fig. 4

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5976 Neural Computing and Applications (2021) 33:5965–5987

Fig. 6 Accuracy R for 1-, 3-, 5-, BR LM SCG

7-, 15-, 30-day-ahead prediction 100.00%
for EGX-50-EWI and EGX-70,
where blue curve represents BR,
99.97%
the orange curve is lM, and the
gray curve is SCG (color 99.93980%
99.93600% 99.93630%
figure online) 99.94% 99.92900%
99.91650%
99.91%
99.89930% 99.90070%

ACCURACY
99.91540% 99.90610% 99.91370%
99.91450%
99.88%
99.91310% 99.86260%
99.87180% 99.87450% 99.88760%
99.85%

99.82%

99.79% 99.79420%
99.77790%

99.76%
1 3 5 7 15 30
DAYS

(a) Accuracy R on EGX-50-EWI.

BR LM SCG
100.00%

99.88050%
99.86260% 99.86340%
99.90% 99.83070% 99.86040% 99.82340%
99.87080% 99.80640%
99.80%
99.84100% 99.80780% 99.73910%
99.82040%
99.80010%
99.70% 99.74290% 99.74940%
ACCURACY

99.72050%
99.71410%
99.60%

99.50%

99.40%

99.30%
99.27050%

99.20%
1 3 5 7 15 30
DAYS

(b) Accuracy R on EGX-70.

where the errors of all the selected models for each dataset
are summarized. Here, it is easy to infer that SCG produced
worst results for all time horizons, as the radar lines of the
counterparts are surrounded by the SCG line for most of
the radar. In this context, BR and lM performed better on
almost all the datasets. From these analyses, it is obvious
that the radar line pertaining to SCG is near the edges of
the chart, indicating that SCG generated maximum value
when compared with other methods for most of the time
horizons.
5.4.1 Short-term prediction
The proposed models have been adjusted to perform a
short-term prediction, and most of the previous studies
mainly focus on one-day-ahead prediction. The statistical

123
Neural Computing and Applications (2021) 33:5965–5987 5977

Fig. 7 Accuracy R for 1-, 3-, 5-, BR LM SCG

7-, 15-, 30-day-ahead prediction
for EGX-100 and NIlE. Blue
curve denotes BR, orange curve 99.96040% 99.96330% 99.95040%
99.97%
99.95710%
is lM, and gray curve is SCG 99.95290% 99.94840%
(color figure online)
99.95170% 99.95800% 99.95150% 99.94980%
99.94210% 99.94560%
99.92%
99.93250%
99.93000%

ACCURACY
99.92150%
99.87880%

99.87%

99.81150%

99.82%
99.78350%

99.77%
1 3 5 7 15 30
DAYS
(a) Accuracy R on EGX-100.

BR LM SCG

99.98%

99.92880%
99.88940% 99.89970%
99.93%
99.89450%
99.92670% 99.88070%
99.88% 99.86530%
99.85120%
99.88930%
99.88570% 99.83190%
ACCURACY

99.83% 99.81010%
99.88860%
99.76900%
99.78%
99.75600% 99.74170%
99.70700%
99.73%

99.68%

99.63% 99.59380%

99.58%
1 3 5 7 15 30
DAYS

(b) Accuracy R on NIlE.

measures reported in this section show that efficient results
have been achieved by all the training algorithms, see
Figs. 5, 6, and 7. As can be seen in Figs. 5a and 6a, lM
with time period of 5 days outperformed other algorithms.
Also, lM achieved better results according for time period
of 3-days, see Fig. 6b. BR also performed better as
observed in Figs. 5b and 7a with time period 3 days and for
1 day (Fig. 7b). Since BR and lM generated equally
efficient results, we calculated total error on all datasets for
the time period of 3 days which are 5:19924  104 and
5:4693  104 for BR and lM, respectively. Conclusively,
BR obtained minimum total error.
From the analysis performed in this section, it can be
clearly suggested that the performance of BR algorithm in
predicting the above-mentioned stock indices outperformed
SCG and lM. The simulated graph of EGX-30, EGX-30-

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5978 Neural Computing and Applications (2021) 33:5965–5987

Table 5 Short-term MSE results for test data based on index and prediction periods
Prediction period Algorithm MSE 104 on test set
EGX-30 EGX-30-Capped EGX-50-EWI EGX-70 EGX-100 NIlE

1 day BR 0.54842 0.71273 1.11751 1.80849 0.56986 0.62553

lM 0.66800 0.94439 1.04599 1.52655 0.48452 0.64369
SCG 2.87361 1.52133 3.22175 2.93866 0.72864 0.95174
3 days BR 0.60867 0.42055 1.09449 1.49053 0.46220 1.12280
lM 0.55154 0.90823 1.11126 1.34774 0.48892 1.06161
SCG 0.74680 1.97664 1.31188 2.09976 0.79379 2.22202
5 days BR 0.52088 0.66429 1.32792 2.01257 0.53589 1.33632
lM 0.49149 0.42424 0.86309 1.72149 0.54763 0.88071
SCG 0.77430 2.37904 1.83459 2.81253 0.83477 2.28183

Table 6 Short-term accuracy (R) for test data based on index and prediction periods
Prediction period Algorithm Accuracy R (in %)
EGX-30 EGX-30-Capped EGX-50-EWI EGX-70 EGX-100 NIlE

1 day BR 99.95730 97.85480 99.91450 99.84100 99.95170 99.92670

lM 99.94630 97.20340 99.92900 99.86260 99.96040 99.92880
SCG 99.74760 96.62380 99.77790 99.74290 99.93250 99.88860
3 days BR 99.94980 98.59620 99.91540 99.87080 99.96330 99.88930
lM 99.95690 97.66170 99.91650 99.88050 99.95800 99.88940
SCG 99.93630 95.06190 99.91310 99.80010 99.92150 99.70700
5 days BR 99.95620 98.80510 99.89930 99.80780 99.95150 99.85120
lM 99.96010 99.09490 99.93600 99.83070 99.95710 99.89970
SCG 99.93710 97.85850 99.87180 99.72050 99.93000 99.76900

Capped, EGX-50-EWI, EGX-70, EGX-100 and NIlE data
considers 3 days ahead to be predicted, as depicted in Fig.
8 where BR technique was set for training NARX and used
stock data as input to the prediction model. In the experi-
mental outcome, some of the simulated graphs of actual
versus the predicted are shown in this paper to limit the
paper length; though, a comprehensive understanding can
be achieved from Tables 5 and 6 showing MSE and pre-
diction accuracy. These findings can be supported by the
research performed in Orimoloye et al. [58] which suggests
that the ANN network trained by BR is relatively expected
to produce efficient prediction results as compared to the
one trained by lM.
Tables 5 and 6 summarize MSE and accuracy R in
percentage (%) for three proposed models on test data of
different datasets. The tables show the experimental results
for BR, lM and SCG methods for all time periods. The first
column shows prediction period and the second column
refers to the training algorithm used, while the rest of the
columns refer to datasets. Table 5 presents normalized
values of actual MSE ¼ Presented  104 . As can be seen
from the results, BR attained considerably better results
than all the comparison models associated with the three
methods. As shown in Table 6, the best regression value
R of NARX model is grater or equal to 99.9% for testing
datasets, which is about 100%.
The actual versus predicted graph of all the experi-
mented datasets using BR algorithm for 3-day-ahead
closing price is depicted in Fig. 8 showing the prediction
curves generated. The curve of predicted values is located
closest to the actual curve in all the six figures, suggesting
that the proposed method attained more outstanding overall
performances. Overall, these results illustrate the efficiency
of BR as a viable mechanism for prediction.
The regression plot shows actual versus predicted graph
of all the experimented datasets using BR algorithm for
3-day-ahead closing price in Fig. 9 which measures cor-
relation between prediction and actual values. The blue
rings refer to predicted, red to actual value and dashed line
to fit. As shown is high coloration between predicted and
the actual on all the six figures. It is important to note from
these results that regression value R is close to 100%.

123
Neural Computing and Applications (2021) 33:5965–5987 5979

Close Price Prediction of EGX 30 using BR Close Price Prediction of EGX 30 Capped using BR
1.2 1.2
Actual Predicted Actual Predicted
1 1.15

0.8 1.1
Close Price

Close Price
1.05
0.6
1
0.4
0.95
0.2
0.9

0 0.85
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400
0 2 4 6 8 10 12 14 16 18 20
Days Days
(a) Predictionon EGX-30. (b) Predictionon EGX-30-Capped.
Close Price Prediction of EGX 70 using BR
1.2
Close Price Prediction of EGX 50 EWI using BR 1.2
Actual Predicted
Actual Predicted
1 1
Close Price

0.8
Close Price
0.8

0.6 0.6

0.4 0.4

0.2 0.2

0 0
0 20 40 60 80 100 120 140 150 0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400

Days Days

(c) Predictionon EGX-50-EWI. (d) Predictionon EGX-70.

Close Price Prediction of NILE using BR
Close Price Prediction of EGX 100 using BR
1.2 1.2

Actual Predicted
1 1 Actual Predicted
Close Price

0.8
Close Price

0.8

0.6 0.6

0.4 0.4

0.2 0.2

0 0
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400 0 20 40 60 80 100 120 140 160 180 200 220 240 250

Days Days
(e) Predictionon EGX-100. (f) Predictionon NIlE.

Fig. 8 Three-day-ahead prediction for all datasets using BR training algorithm; blue curve represents predicted values, whereas red curve
represents the actual values. The curves show that the model gives predicted values close to the actual ones for all datasets (color figure online)

5.4.2 Long-term prediction depicted for all the models in Figs. 5a and 6a. Here, BR
with the time period of 7 days outperformed other algo-
The proposed model was also adjusted to perform a long- rithms and SCG achieved better results according to
term prediction, as it has the same importance for investors. Fig. 5b for the time period of 30 days. lM performed well
The statistical measures show the efficient results, as as seen in Figs. 6b and 7a with the time period of 7 days,

123
5980 Neural Computing and Applications (2021) 33:5965–5987

R=0.9995 R=0.98596
1 1
Actual Fit Predicted
Predicted ~= 1*Actual + 0.00055
Actual Fit Predicted

Predicted ~= 0.93*Actual + 0.063

0.9

0.8

0.7
0.95
0.6

0.5

0.4
0.9
0.3

0.2

0.1

0 0.85
0 0.2 0.4 0.6 0.8 1 0.85 0.9 0.95 1
Actual Actual
(a) Correlation Coefficient R on EGX-30. (b) Correlation Coefficient R on EGX-30-Capped.
R=0.99915 R=0.99871
Predicted ~= 0.99*Actual + 0.0031

Actual Fit Predicted

Predicted ~= 1*Actual + 0.00085

Actual Fit Predicted
0.9 0.9

0.8 0.8

0.7 0.7

0.6 0.6

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0
0 0.2 0.4 0.6 0.8 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

Actual Actual
(c) Correlation Coefficient R on EGX-50-EWI. (d) Correlation Coefficient R on EGX-70.
R=0.99963 R=0.99889

Actual Fit Predicted Actual Fit Predicted

Predicted ~= 1*Actual + 0.0011

0.9 0.9
Predicted ~= 1*Actual + -0.001

0.8 0.8

0.7 0.7

0.6 0.6

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0
0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 0 0.2 0.4 0.6 0.8

Actual Actual
(e) Correlation Coefficient R on EGX-100. (f) Correlation Coefficient R on NIlE.

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 Neural Computing and Applications (2021) 33:5965–5987 5981

b Fig. 9 Three-day-ahead correlation coefficient (R); regression plots results, the regression values shown here are also close to
provide a clear vision about model accuracy R and how prediction is 100%.
close to actual. Figure shows that the fit is very good for all datasets.
Most of the R values are equal to 0.99 or above, except for EGX-30-
Capped, which gives R value equal to 0.98; therefore, prediction
accuracy is high
5.5 Comparison with state of the art

When considering comparison with previous studies per-

and for 15-days as seen in Fig. 7b. According to the results, taining to deep learning and NARX, there are witnessed
7-day prediction is the common time period BR and lM certain inconsistency issues such as (a) the scarcity of using
perform well equal times, so the second step was to cal- NARX technology in the stock market domain, despite
culate total error for these two algorithms on all datasets for commonly used in time-series problems [61] and many
the time period of 7 days which are 6:3559  104 and other areas [62] like NARX-Laguerre model [63], pattern
classifier [64], convergence bound in the frequency domain
6:30204  104 for BR and lM, respectively. From these
[65], photovoltaic power [12], (b) we use a novel datasets
results presented here, it is obvious that the performance of
that was not previously used before. Yet, we present a brief
lM algorithm in predicting the above-mentioned stock
comparison with previous research efforts in terms of the
value outperformed BR. Therefore, in this section results of
applied dataset, measure, techniques and accuracy(%) as
prediction on time period of 7 days for NARX model
shown in Table 9. Only nearby methods using ANN are
trained by lM algorithm are discussed.
incorporated for realistic results comparison. Conse-
From these results, it can be clearly suggested that the
quently, it is seen that the proposed approach provides at
performance of lM algorithm in predicting the above-
least 99% overall regression measures which indicates
mentioned stock indices outperformed BR and SCG. The
providing the best performance in comparison with the
simulated graphs for EGX-30, EGX-30-Capped, EGX-50-
recent approaches.
EWI, EGX-70, EGX-100, and NIlE data considering 7
days ahead to be predicted are depicted in Fig. 10. Here,
lM technique was set for training NARX and used stock
5.6 Discussion
data as input to the prediction model. In the experimental
The purpose of this study is to propose a prediction model
outcome, some of the simulated graphs of actual versus the
with high accuracy based on Governmental datasets for the
predicted are shown in this paper to limit paper length;
Egyptian Stock Exchange (EGX). Using the NARX neural
though, a comprehensive understanding can be achieved
network, the study proposed NARX model with three input
from Tables 7 and 8 showing MSE and prediction accu-
and one output layer, and we use three training algorithms
racy. These findings support the argument put forward in
as we mentioned in Sect. 3. Generally, the comparative
[59, 60] that lM is widely used training algorithm for ANN-
study shows the merits and limitations of neural network
based prediction models.
methods when compared horizontally for stock price pre-
For long-term prediction results, Tables 7 and 8 sum-
diction. More importantly, model accuracy, speed of model
marize MSE and accuracy R in percentage (%) for test data
approximation, handling binary and continuous features,
of three proposed models on different datasets. The results
and incremental learning are some of the merits of most
show the experimental outcome for BR, lM, and SCG
neural network methods. However, relatively low learning
methods for all time periods. Table 7 presents the nor-
speed, intolerance to missing values and noisy data, issues
malized values of actual MSE ¼ Presented  104 . As can
with redundant features, tendency of overfitting, and black
be seen from the tables, lM has attained considerably better
box are some of the difficulties faced with these models. In
results than all the comparison models associated with the
particular, the experimental analysis performed in this
three methods. Table 8 shows the best regression value of
study suggests that the proposed methodology proved its
NARX model equal to 99.9% for testing datasets. From
efficacy.
Fig. 10 which depicts actual and the predicted prices as a
The proposed NARX model presents certain pros: (1)
time series, it can be said that 7 days ahead with lM pre-
Among all kinds of neural networks, the NARX usually has
diction performance is better. The regression plot shows
a higher level of accuracy, superior generality, and prac-
actual versus predicted graph of all the experimented
ticability for time-series prediction because of various
datasets using lM algorithm for 7-day-ahead closing price
advantages such as the ability to keep a memory of past
is depicted in Fig. 11 which measures correlation between
events to predict future trends [70]. (2) It has the capacity
prediction and actual. Similar to short-term prediction
to provide better forecasting accuracy than traditional time-
series analysis [61], especially in the multistep-ahead short-

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5982 Neural Computing and Applications (2021) 33:5965–5987

Close Price Prediction of EGX 30 using LM Close Price Prediction of EGX 30 Capped using LM
1.2
1.2

Actual Predicted 1.15

1
Actual Predicted

1.1

Close Price
0.8
Close Price

1.05

0.6
1

0.4
0.95

0.2 0.9

0.85
0 0 2 4 6 8 10 12 14 16 18 20
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400

Days Days
(a) Prediction on EGX-30. (b) Prediction on EGX-30-Capped.

1.2
Close Price Prediction of EGX 50 EWI using LM Close Price Prediction of EGX 70 using LM
1.2

Actual Predicted Actual Predicted

1
1
Close Price

0.8
Close Price 0.8

0.6
0.6

0.4
0.4

0.2
0.2

0
0 20 40 60 80 100 120 140 150 0
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400
Days
Days
(c) Prediction on EGX-50-EWI.
(d) Prediction on EGX-70.

Close Price Prediction of EGX 100 using LM Close Price Prediction of NILE using LM
1.2
1.2

1 Actual Predicted 1 Actual Predicted

0.8
0.8
Close Price

Close Price

0.6
0.6

0.4
0.4

0.2
0.2

0
0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 360 380 400 0
0 20 40 60 80 100 120 140 160 180 200 220 240 250
Days Days
(e) Prediction on EGX-100. (f) Prediction on NIlE.

Fig. 10 Seven-day-ahead prediction for all datasets using lM training algorithm; blue curve represents predicted values, whereas red curve is
actual values. Figure shows that the proposed model gives predicted values close to actual values for all datasets (color figure online)

term forecast [71]. (3) NARX structure allows the learning Besides benefits, the proposed NARX also poses some
algorithm to efficiently approximate and fine-tune the limitations as discussed below: (1) The application of the
model parameters [72, 73]. (4) It has been successfully NARX is still immature under some scenarios due to the
applied to many areas as we mentioned before in Sect. 5.5. fact that there are no such general decision criteria for

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Neural Computing and Applications (2021) 33:5965–5987 5983

Table 7 Long-term MSE for test data based on index and prediction periods
Prediction period Algorithm MSE x104 on test set
EGX-30 EGX-30-Capped EGX-50-EWI EGX-70 EGX-100 NIlE

7 days BR 0.51431 0.79345 0.88377 2.60004 0.65028 0.91405

lM 0.63959 1.42038 1.38016 1.39738 0.49863 0.96590
SCG 1.04321 2.15505 1.99064 2.06757 2.05920 2.25517
15 day BR 0.57256 21.56370 1.18038 3.01820 0.54460 1.26124
lM 0.66534 3.16887 0.99626 1.68767 0.53343 0.86049
SCG 1.06136 1.39570 1.81869 2.82684 2.56814 2.00173
30 day BR 0.59568 1.50082 1.23708 1.88133 0.57825 1.50248
lM 0.57135 1.44127 1.48321 1.46672 0.66151 1.09680
SCG 1.40531 0.51019 2.47412 8.23814 1.24153 3.00411

Table 8 Long-term accuracy R for test data based on index and prediction periods
Prediction period Algorithm Accuracy R (in %)
EGX-30 EGX-30-Capped EGX-50-EWI EGX-70 EGX-100 NIlE

7 days BR 99.96030 98.65720 99.93980 99.74940 99.94210 99.89450

lM 99.94490 98.30510 99.90610 99.86040 99.95290 99.88570
SCG 99.91200 94.64870 99.87450 99.80640 99.81150 99.75600
15 day BR 99.95570 87.25750 99.91370 99.71410 99.94980 99.83190
lM 99.95000 90.32050 99.93630 99.82340 99.95040 99.88070
SCG 99.91680 97.89390 99.86260 99.73910 99.78350 99.74170
30 day BR 99.95450 96.76850 99.90070 99.82040 99.94560 99.81010
lM 99.95380 97.34790 99.88760 99.86340 99.94840 99.86530
SCG 99.88580 98.72820 99.79420 99.27050 99.87880 99.59380

architecture setting for the training algorithm. (2) The most
favorable behavior of a specially constructed NARX model
is dependent upon the exogenously designated time delay
that is especially important for the initial prediction, the
selection of time points for training, validation, or testing
that may lead to either different fitting performance for the
known objects during training or different prediction per-
formance for unknown objects outside of training. (3) In
the case of too small number of neurons in the hidden
layer, NARX may result in inappropriate generalization
ability or the chances of overfitting when dealing with
highly nonlinear dynamic mapping. This may not produce
better forecasts and perform false fitting of the known
instances in the training process. (4) In the absence of
specific criteria and scenario-based selection, the optimal
determination of NARX architectural elements is a critical
and difficult task.
The results of this study suggest that there is significant
predictive accuracy which can be achieved when employ-
ing the proposed NARX model with the predefined
configurations in the field of stock price prediction.
Therefore, authors recommend the proposed results to be
tested and applied to other similar nonlinear systems that
model other type of similar networks in the field of stock
price prediction which is previously mentioned in Table 9,
and in other different fields such as photovoltaic power
[12], social contagion [74], gas flow equation [75], and
elasticity [76] which could provide and improve solutions
for those systems.
6 Conclusion
The high nonlinearity and volatility of financial time series,
including stock market, make prediction a paramount
problem in machine learning paradigm. In this study, we
examined methods like BR, lM, and SCG to train the
NARX network for predicting the return of the Egyptian
Stock Exchange (EGX) indices (EGX-30, EGX-30-Cap-
ped, EGX-50-EWI, EGX-70, EGX-100, and NIlE). We

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5984 Neural Computing and Applications (2021) 33:5965–5987

R=0.99945 R=0.98305
1
Actual Fit Predicted Actual Fit Predicted

Predicted ~= 1*Actual + -0.00098

0.9 0.98

Predicted ~= 1.1*Actual + -0.1

0.8
0.96

0.7
0.94
0.6

0.92
0.5

0.4 0.9

0.3
0.88

0.2
0.86
0.1

0.84
0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 0.84 0.86 0.88 0.9 0.92 0.94 0.96 0.98
Actual Actual

(a) Correlation Coefficient R on EGX-30. (b) Correlation Coefficient R on EGX-30-Capped.

R=0.99906 R=0.9986
1 1
Actual Fit Predicted
Actual Fit Predicted
0.9 0.9
Predicted ~= 1*Actual + -0.0013

Predicted ~= 1*Actual + 0.00072

0.8 0.8

0.7 0.7

0.6 0.6

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0.2 0.4 0.6 0.8 1 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9
Actual Actual

(c) Correlation Coefficient R on EGX-50-EWI. (d) Correlation Coefficient R on EGX-70.

R=0.99953 R=0.99886
1
Actual Fit Predicted Actual Fit Predicted
0.9
0.9
Predicted ~= 1*Actual + 0.0014
Predicted ~= 0.99*Actual + 0.001

0.8
0.8

0.7 0.7

0.6 0.6

0.5 0.5

0.4 0.4

0.3 0.3

0.2 0.2

0.1 0.1

0
0 0. 2 0. 4 0. 6 0.8 0. 2 0. 4 0. 6 0. 8 1
Actual Actual

(e) Correlation Coefficient R on EGX-100. (f) Correlation Coefficient R on NIlE.

Fig. 11 Seven-day-ahead correlation coefficient (R) regression plots Most of the subfigures show R value equal to 0.99 or above, except
provide a clear vision about the model accuracy and how prediction is EGX-30-Capped, which gives R value equal to 0.98; therefore,
close to actual. Figure shows that the fit is very good for all datasets. prediction accuracy is high

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Neural Computing and Applications (2021) 33:5965–5987 5985

Table 9 Comparative study with the state-of-the-art methods based on accuracy in average
Reference Data Technique Measure Accuracy (%) in Average

[19] Tunisia Stock NARX MSE, R 95%

[22] BSE, DJIA, NASDAQ, ACRNN Average, BSE = 81.6% , DJIA = 76.8% , NASDAQ = 73.6%
FTSE, TAIEX, STD, FTSE =81.2%, TAIEX = 88.36%,
S&P 500, lSE POCID S&P 500 = 85.33% , lSE = 84.6%
[25] Reliance Private limited ANN MSE, MAPE Tick data = 99.9% 15-min = 97.36%
[26] NASDAQ BPNN MSE, RSquare 96.22%
[28] S&P 500 Index ETF (SPY) ANN MSE, confusion 78%
matrix
[35] Guangdong enterprises, BPNN MSE BP-MGD = 84%, BP-CGC = 83.6%, BP-BR =
Shenzhen 85.20%
[38] KOSPI200, S&P 500 RNN MSE, MAPE, MAE KOSPI200 = 98.64%, S&P 500 = 98.05%
[41] NSE, NYSE RNN MAPE NSE = 91.44%, NYSE = 92.84%
[66] NYSE and Relational Stock MSE, MRR NYSE = 98%,
NASDAQ Ranking (RSR) , IRR NASDAQ = 71%
[67] Yahoo! Finance State Frequency Average Square N/A
Memory (SFM)- Error
RN
[68] Istanbul Stock Exchange (ISE) ANN Accuracy 75.74%
[69] CNX Nifty and S&P Bombay ANN Accuracy 86.69%
Stock Exchange (BSE) Sensex
EGX-70, EGX-30, NARX MSE, R EGX-70 = 99.78%, EGX-30 = 99.93%
Current EGX-50-EWI , NIlE, EGX-50-EWI = 99.89%, NIlE = 99.83%
Study EGX-100,EGX-30-Capped EGX-100 = 99.93%, EGX-30-Capped = 96.59%

compared the prediction performance of the different
models developed according to the training algorithms
individually. The empirical results showed that the pro-
posed models could successfully predict the stock market
returns with slight difference in accuracy for most of the
time periods. For the BR, lM, and SCG training algorithms,
we conducted an experiment with all datasets. We then
adjusted the parameter settings to compare with other
prediction models. Considering the accuracy level of BR
model, BR outperformed lM and SCG in short-term pre-
diction for 3-days ahead. In addition, lM achieved better
results than BR and SCG in long-term prediction for 7-days
ahead. In our future work, we will try to add some technical
indicators to the proposed data in order to measure the
efficiency of using technical indicators in the prediction
process and developed model will be a hybrid approach
using recent metaheuristic algorithms for NARX network
parameters training.
Acknowledgements The authors would like to thank Minia Univer-
sity for supporting this research. This research is also partially sup-
ported by University of Electronic Science and Technology of China
(UESTC) and National Natural Science Foundation of China (NSFC)
under the Grant No. 61772120.
Compliance with ethical standards
Conflict of interest The authors declare that they have no conflict of
interest.
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