Saudi Arabia Stock Market Prediction Using Neural Network Talal Alotaibi, Amril Nazir, Roobaea Alroobaea, Moteb Alotibi, Fasal Alsubeai, Abdullah Alghamdi, Thamer Alsulimani Department of Computer Science, College of Computers and Information Technology Taif University, Taif, KSA amril@tu.edu.sa, r.robai@tu.edu.sa Abstract—Artificial neural networks became one of the most popular methods for forecasting (especially time-series forecasting) due to their ability to model nonlinear functions. One of the common methods for applying the artificial neural network is back propagation method. There have been many studies that have been conducted to apply artificial neural networks in stock market predictions. However, most stock market predictions only focus on US, Europeans and some Asian markets. To our knowledge, there are very few studies in stock market prediction for Saudi market. We tried to explore artificial neural networks using back-propagation algorithm to predict the Saudi market movement. We used the real datasets from the Saudi Stock Exchange (i.e., TADAWUL stock market exchange) and oil historical prices to evaluate the effectiveness of the proposed neural network methods. The results shows the capability of neural networks in predicting the stock exchange movement in Saudi market. Keywords— stock market prediction; Saudi Arabia stock prediction; neural network stock prediction. I. INTRODUCTION Prediction of stock market is gaining a lot of attention because it can help financial organization and investors to make better investment decisions. Many researchers in artificial intelligence community have proposed diverse kind of technical indicators, fundamental analysis, and statistical techniques such as Regression, and genetic algorithms. However, most of these techniques or the combination techniques were not very successful to predict the stock market movement accurately [1]. However, artificial neural networks showed the opposite especially in the prediction filed and it have become objects of everyday use and have shown to be very effective in many fields such as signal filtering in computer modems, speech recognition and optical character recognition etc. Moreover, neural networks have been currently applied in classification, intelligent control, medicine, pattern analysis, function approximation, weather forecasting etc. This success has proved neural networks as an adequate model and method in real life use cases. Many researchers have also conducted some studies on the utilization of artificial neural networks in predicting the stock markets and they have shown that the approach can provide powerful performance in stock market prediction due to their ability to model nonlinear functions, since most stock markets is complex(nonlinear) and volatile[1, 2]. The powerful ability shown by neural networks are due to: (1) its ability to find a relationships between input and output even if the problem is very complicated and figure out exactly what it has learnt; (2) The new patterns can recognized even if they haven’t been in training set; (3) Neural networks has the ability to approximate any function that enables us to learn an intricate relationships between the system input and the output. There are many research that been conducted in the area using artificial neural networks for stock market predictions. However, to our knowledge, there is a very rare study on stock market prediction on Saudi market. In this work we will examine and present the artificial network technique to predict the Saudi stock market movement. We used real datasets from the TADAWUL stock market exchange to evaluate the effectiveness of the proposed technique. Following section reviews the literature for existing methods. II. LITERATURE REVIEW The studies of forecasting the movement of the stock market have been growing in recent years. One of the methods that have been used for predicting the stock market movements and prices is artificial neural network (ANN).Yao, Jingtao, and Chew Lim Tan [3] explains that back-propagation network used in his study has given good results for forecasting. Guresen et al [4] also did research in stock market index prediction using neural networks. Chen et al [11] in their work on predicting the direction of index return for Taiwan stock exchange was a promosing one. Khoa et al, [11] used a systematic method to investigate if it can predict the stock market price using artificial neural networks with back propagation. A lot of improvement appeared after the integration of the time factors algorithm and profit when we compare it with the classic(traditional) training for Feed Forward Network. Khashei et al [12], used artificial neural networks (ANNs) model for time series forecasting and got prediction with a high degree of accuracy. Chan et al [13], investigate the neural networks to predict Financial Time Series. The experimental results based on historical data it is possible to modeling stock price using three layer neural e-ISSN : 0975-3397 p-ISSN : 2229-5631 Talal Alotaibi et al. / International Journal on Computer Science and Engineering (IJCSE) DOI: 10.21817/ijcse/2018/v10i2/181002024 Vol. 10 No.2 Feb 2018 62