Developing an LSTM neural network model for predicting blocktrade transaction valuation

Subject Areas : Financial Markets and Institutions

Adeleh Bahreini ¹ (Department of Financial Engineering, Rasht Branch, Islamic Azad University, Rasht, Iran.)
Maryam Akbaryan Fard ² (Department of Accounting, Somehsara Branch, Islamic Azad University, Somehsara, Iran.)
Mehdi Khoshnood ³ (Department of Accounting, Rudsar and Amlesh Branch, Islamic Azad University, Rudsar, Iran.)

Received: 2023-07-16 Accepted : 2023-11-06 Published : 2023-11-28

Keywords: Price fluctuations, BlockTrade transaction valuation, deep learning neural networks, LSTM model,

Abstract :

Objective: The capability of intelligent systems in predicting economic and financial variables, particularly stock prices, has been confirmed in previous research in Iran and other countries. However, the valuation of block transactions is calculated for the first time in this study. The aim is to investigate the outcomes and information from the financial reports of listed companies on the Tehran Stock Exchange using 15 financial indices and determine the impact of these indices on the valuation of block transactions by employing the RMSE test on the Test dataset.Research Methodology: For this purpose, financial information from 64 companies within the accepted companies of the Tehran Stock Exchange for the period from 1390 to 1400 has been utilized. The research hypothesis is tested using the Long Short-Term Memory (LSTM) deep learning neural network model.Findings: The LSTM neural network, due to its high capability in training data, appropriate weights for these data, and creating a path that efficiently and accurately produces acceptable results for predicting the valuation of block transactions.Originality/Value: In the proposed model, by measuring the valuation of block transactions, we will scrutinize the prices of these transactions and the effects of information and liquidity in large-sized transactions.

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