Forecasting gold price changes by using adaptive network fuzzy inference system

Abstract

Developing a preci se and accurate model of gold price is critical to assets management because of its unique features. In this paper, adaptive neuro-fuzzy inference system (ANFIS) and artifi cial neural network (ANN) model have been used for modeling the gold price, and compared with the traditional statistical model of ARIMA (autoregressive integrated moving average). The three performance measures, the coeffi cient of determination (R2), root mean squared error (RMSE), mean absolute error (MAE), are utilized to evaluate the performances of different models developed. The results show that the ANFIS model outperforms other models (i.e. ANN and ARIMA model), in terms of different performance criteria during the training and validation phases. Sensitivity analysis showed that the gold price changes are highly dependent upon the values of silver price and oil price.