Decision Science Letters 9 (2020) 193–206

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Decision Science Letters

homepage: www.GrowingScience.com/dsl

Forecasting Vietnamese stock index: A comparison of hierarchical ANFIS and LSTM

Quang Hung Doa* and Tran Van Trangb

aFaculty of Information Technology, University of Transport Technology, Vietnam

bFaculty of Business Administration, Thuongmai University, Hanoi, Vietnam
CHRONICLE ABSTRACT
Article history: Forecasting stock index has been received great interest because an accurate prediction of stock
Received October 10, 2019 index may yield benefits and profits for investors, economists and practitioners. The objective of
Received in revised format: this study is to develop two efficient forecasting models and compare their performances in one
October 28, 2019
day-ahead forecasting the daily Vietnamese stock index. The model development used the data
Accepted November 30, 2019
Available online across 9 years of the trading days. The developed models are based on two artificial intelligence
November 30, 2019 techniques, including adaptive network based fuzzy inference system (ANFIS) and long short-
Keywords: term memory (LSTM). The performance indexes including RMSE, MAPE, MAE and R were
Vietnamese stock index used to make comparison of the models. The experimental results reveal that both models
Forecasting successfully forecasted the daily Vietnamese stock index with a high accuracy rate. The
Adaptive network based fuzzy comparative results of the two models were then discussed and analyzed. It was found that the
inference system (ANFIS) LSTM model outperformed the hierarchical ANFIS model in forecasting stock index of the
Long short-term memory (LSTM) Vietnamese stock market.
© 2020 by the authors; licensee Growing Science, Canada.

1. Introduction
Stock market has been considered as an indicator of the economy. Considerable amount of studies have
shown that the stock market development is positively related with the level of economic development
both in short run and long run (Ake, 2010; Rahman & Salahuddin, 2009; Touny, 2012). Stock price
index which is a statistical measure reflects the level and changing situation of various stock prices in
stock market. Forecasting stock index has been getting more attention from practitioners and academia
since it provides information for national macroscopic decision and affects brokers' investment strategy
(Jian & Song, 2016). However, accurate prediction of the trends of the stock price index has long been
regarded as one of the most challenging tasks since the stock market is complex, complicated, dynamic
and chaotic (Kara et al., 2011).

The techniques used in forecasting stock price index can be grouped into two broad categories including
statistical-based models and artificial intelligence-based models. Several popular methods in the
statistical-based models are Autoregressive Integrated Moving Average (ARIMA), Generalized
Autoregressive Conditional Heteroskedasticity (GARCH) and Seasonal Autoregressive Integrated
Moving Average (SARIMA). Naturally, the financial time series (i.e., stock index and exchange rate)
include both linear and nonlinear patterns. One of the main limitations of the statistical-based models
is that they can only effectively solve linear problems. Many studies concluded that the artificial
intelligence-based models outperform the statistical-based models in forecasting stock price index.
* Corresponding author.
E-mail address: [email protected] (Q.H. Do)

© 2020 by the authors; licensee Growing Science, Canada.

doi: 10.5267/j.dsl.2019.11.002
194

Kyungjoo et al. (2007) applied SARIMA and artificial neural network (ANN) to forecast Korean Stock
Index and then stated that the performance of ANN is more reliable. It was also shown that the
combination of ANN and ARIMA gives much better results than those of ARIMA and ANN models
in forecasting Vietnam index (Bao & My, 2019). Şenol and Özturan (2008) applied several models in
prediction of the direction of the stock market index in Turkey, confirming that ANN-based model is
one of the most robust methods for forecasting. In order to predict the direction of next day’s Nikkei
225 index movement, Qui and Song (2016) applied ANN and genetic algorithm in constructing the
forecasting model. The results indicated that their proposed method was more effective and obtained a
high accuracy. Liu et. al. (2016) applied four supervised learning models, including Logistic
Regression, Gaussian Discriminant Analysis (GDA), Naive Bayes and Support Vector Machine (SVM)
to the prediction of S&P 500 index. It was found out that all the models could provide predictability to
a certain degree. Besides, among developed models, the SVM model with a Radial Basis Function
(RBF) kernel can achieve the highest accuracy rate. The above mentioned studies reveal the great
success of artificial intelligence-based models in forecasting stock index.

The adaptive network based fuzzy inference system (ANFIS), a hybrid intelligent system, is a
combination of ANNs and fuzzy systems; therefore, it has the advantages of both techniques (Azadeh
et al., 2011; Buragohain & Mahanta, 2008; Metin Ertunc & Hosoz, 2008). Fuzzy systems are
appropriate if sufficient expert knowledge about the process is available, while neural networks are
useful if sufficient process data is available or measurable. The advantage of neural networks and fuzzy
systems can be integrated in a neuron-fuzzy approach. Fundamentally, a neuron-fuzzy system is a fuzzy
network that has its function as a fuzzy inference system. The system can overcome some limitations
of neural networks, as well as the limits of fuzzy systems (Nauck et al., 1997; Singh et al., 2005), when
it has the capacity to represent knowledge in an interpretable manner and the ability to learn. The details
of the neuron-fuzzy system were proposed by Takagi and Hayashi (1991). Among the neuron-fuzzy
systems, ANFIS, introduced by Jang (1993), is the most common tools. In the FIS, the fuzzy if-then
rules are determined by experts, whereas in the ANFIS, it automatically produces adequate rules with
respect to input and output data, and facilitates the learning capabilities of neural networks. ANFIS is
suitable for the forecast of chaotic time series in financial markets. Esfahanipour and Mardani (2011)
showed the superiority of the ANFIS model against ANN model and ANFIS model in forecasting
Tehran Stock Exchange Price Index (TEPIX) using the time series data from 25 March 2001 until 25
September 2010. Boyacioglu and Avci (2010) developed a model based on ANFIS to predict the return
on stock price index of the Istanbul Stock Exchange (ISE). The findings revealed that the model
successfully forecasts the monthly return of ISE National 100 Index with an accuracy rate of 98.3%.
Then, it can be concluded that ANFIS provides a promising alternative for stock market prediction.

Currently, recurrent neural network (RNN), a deep learning model, has been considered as one of the
most affective models in processing sequential data. Long short-term memory (LSTM) is the most
successful RNN architectures. LSTM has a unit of computation, a memory cell, that replaces traditional
artificial neurons in the hidden layer of the neural network. Thus, LSTMs can grasp the structure of
data dynamically over time with high prediction capacity. Jeenanunta et. al. (2018) used a RNN with
LSTM to investigate the prediction of daily stock prices of the top five companies in the Thai SET50
index. In comparison with different techniques, the result showed that LSTM give the best performance
with three index with less than 2% error. These studies showed that that deep learning models based
on LSTM for forecasting stock price time series data are consistent.

The objective of this study is to investigate the effectiveness of LSTM networks, and hierarchical
ANFIS in forecasting stock market price movements. Additionally, Vietnam stock market is cautious
and unpredictable. It is absolutely necessary to develop an efficient forecasting model for stock price
index. Therefore, the main contributions of this study are the followings: (1) evaluating two forecasting
models based on LSTM and hierarchical ANFIS by comparing and analyzing through several
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performance indexes; (2) developing the model using real data from Vietnam stock exchange market;
and (3) proposing a suitable prediction model for Vietnam stock market.

2. Hierarchical adaptive neuro-fuzzy inference system (HANFIS)

Artificial Neural Network (ANN) and fuzzy theory, which are soft computing techniques, are used in
establishing intelligent systems. A fuzzy inference system (FIS) employs fuzzy if-then rules when
acquiring knowledge from human experts to deal with imprecise and uncertain problems (Yusof et al.,
2012). FISs have been widely used to solve different classification problems (Fakhrahmad et al., 2012).
However, fuzzy systems cannot learn from or adjust themselves (Ata & Kocyigit, 2010). An ANN has
the capacity to learn from its environment, self-organize, and adapt in an interactive way. For these
reasons, a neuron-fuzzy system, which is the combination of a fuzzy inference system and neuron
network, has been introduced to produce a complete fuzzy rule base system. The advantage of neural
networks and fuzzy systems can be integrated in a neuron-fuzzy approach. Fundamentally, a neuron-
fuzzy system is a fuzzy network that has its function as a fuzzy inference system. The system can
overcome some limitations of neural networks, as well as the limits of fuzzy systems (Nauck et al.,
1997; Singh et al., 2005), when it has the capacity to represent knowledge in an interpretable manner
and the ability to learn. The details of the neuron-fuzzy system were proposed by Takagi and Hayashi
(1991). Among the neuron-fuzzy systems, ANFIS, introduced by Jang (1993), has been one of the most
common tools. In the FIS, the fuzzy if-then rules are determined by experts, whereas in the ANFIS, it
automatically produces adequate rules with respect to input and output data, and facilitates the learning
capabilities of neural networks.

An ANFIS is a multilayer feed-forward neural network, which employs neural network learning
algorithms and fuzzy reasoning to map from input space to output space. The architecture of ANFIS
includes five layers, namely the fuzzification layer, the rule layer, the normalization layer, the
defuzzification layer, and a single summation node. To present the ANFIS architecture and simplify
the explanations, assume that the FIS has two inputs, 𝑥 and 𝑥 , two rules, and one output, 𝑦, as shown
in Fig. 1. Each node within the same layer performs the same function. The circles are used to indicate
fixed nodes while the squares are used to denote adaptive nodes. A FIS has two inputs and two fuzzy
if-then rules that can be expressed as

Rule 1: If 𝑥 is 𝐴 and 𝑥 is 𝐵 then 𝑦 = 𝑝 𝑥 + 𝑞 𝑥 + 𝑟 , (1)

Rule 2: If 𝑥 is 𝐴 and 𝑥 is 𝐵 then 𝑦 = 𝑝 𝑥 + 𝑞 𝑥 + 𝑟 ,

where 𝑥 and 𝑥 are the inputs; 𝐴 , 𝐴 , 𝐵 , 𝐵 are the linguistic labels; 𝑝 , 𝑞 , and 𝑟 , (i=1 or 2) are the
consequent parameters (Jang, 1993) that are identified in the training process; and y1 and y2 are the
outputs within the fuzzy region. Eq. (1) represents the first type of fuzzy if-then rules, in which the
output part is linear. The output part can also be constants (Sugeno, 1985), represented as:

Rule 1: If 𝑥 is 𝐴 and 𝑥 is 𝐵 then 𝑦 = 𝐶 (2)

Rule 2: If 𝑥 is 𝐴 and 𝑥 is 𝐵 then 𝑦 = 𝐶

where 𝐶 (i=1 or 2) are constant values. Eq. (2) represents the second type of fuzzy if-then rules. For
complicated problems, the first type of if-then rules is widely utilized to model the relationships of
inputs and outputs (Wei et al., 2007). In this research, we also used a linear function for the output.
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w1
w1 f1

w2 f 2
w2

Fig. 1. An ANFIS architecture of two inputs and two rules

The brief description of the functions of each layer is as follows:

Layer 1 - fuzzification layer: Each node in this layer is a square node. The nodes produce the
membership values. Outputs obtained from these nodes are calculated as follows:

𝑂 , =𝜇 𝑥 for i=1, 2 or (3)

𝑂 , =𝜇 𝑥 for i=3, 4,

where 𝑂 , denotes the output of node i in layer 1, and 𝜇 𝑥 and 𝜇 𝑥 are the fuzzy membership
functions of 𝐴 and 𝐵 . The fuzzy membership functions can be in any form, such as triangular,
trapezoidal, or Gaussian functions.

Layer 2 - rule layer: Every node in this layer is a circular node. The output is the product of all incoming
inputs.

𝑂 , =𝑤 =𝜇 𝑥 ×𝜇 𝑥 for i=1, 2, (4)

where 𝑂 , denotes the output of node i in layer 2, and wi represents the firing strength of a rule.

Layer 3 - normalization: Every node in this layer is a circular node. Outputs of this layer are called
normalized firing strengths. The ith node is calculated by the ith node firing strength to the sum of all
rules’ firing strengths.

𝑂 , =𝑤 = for i=1, 2, (5)

where 𝑂 , denotes the output of node i in layer 3, and 𝑤 is the normalized firing strength.

Layer 4 - defuzzification layer: Every node in this layer is an adaptive node with a node function.

𝑂 , = 𝑤 𝑦 for i=1, 2, (6)

where 𝑂 , denotes the output of node i in layer 4, 𝑤 is the output of layer 3, and 𝑝 , 𝑞 , 𝑟 is the
parameter set. Parameters in this layer are consequent parameters of the Sugeno fuzzy model.
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Layer 5 - a single summation node: The node is a fixed node. This node computes the overall output
by summing all the incoming signals from the previous layer:

∑ (7)
𝑂 , =∑ 𝑤𝑦 = ∑
for i =1, 2,

where 𝑂 , denotes the output of node i in layer 5. The results are then defuzzified using a weighted
average procedure.

It can be seen that the ANFIS architecture has two adaptive layers: layer 1 and layer 4. Layer 1 has
parameters related to the fuzzy membership functions and layer 4 has parameters {pi, qi, ri} related to
the polynomial. The aim of the hybrid learning algorithm in the ANFIS architecture is to adjust all these
parameters in order to make the output match the training data. Adjusting the parameters includes two
steps. In the forward pass of the learning algorithm, the premise parameters are fixed, functional signals
go forward until layer 4, and the consequent parameters are identified by the least squares method to
minimize the measured error. In the backward pass, the consequent parameters are fixed, the error
signals go backward, and the premise parameters are updated by the gradient descent method (Jang et
al., 1997). This hybrid learning algorithm is able to decrease the complexity of the algorithm and
increase learning efficiency (Singh et al., 2005). Due to this advantage of the hybrid learning algorithm,
it was utilized in this study.

According to Güneri et al. (2011), too many inputs in the ANFIS structure makes the system
complicated and limits its applicability. In addition, many studies pointed out that ANFIS gives better
solutions with a simple structure. To deal with this issue, several low-dimensional rule bases should be
arranged in a hierarchical structure (Brown et al., 1995). To model a hierarchical ANFIS, it is necessary
to identify: a suitable hierarchical structure, the number of inputs for each sub-ANFIS model, and a
rule base for each sub-ANFIS model.

When identifying the rule base for ANFIS, the problems under consideration are: (1) there are no
standard methods for transforming human knowledge or experience into the rule base; and (2) it is
necessary to tune the membership functions to maximize the performance and minimize the errors (
Jang, 1993). There are several methods to identify FIS. In this paper, the grid partition method was
utilized. This method divides the data space into rectangular sub-spaces using an axis-paralleled
partition based on the number of membership functions and their types in each dimension. An example
of a grid partition with two input variables and two membership functions for each input variable is
illustrated in Fig. 2. The combination of a grid partition and ANFIS has been mentioned by Kennedy
et al. (2003). The grid partition is suitable for problems with a small number of inputs (Wei et al., 2007).

Fig. 2. An example of grid partition method with two input variables

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3. Long short-term memory (LSTM)

An ANN is a mathematical model to simulate the network of biological neurons that mimic a human
brain so that the computer would be able to learn things and make decisions in a humanlike manner. A
deep neural network (DNN) is an ANN with more than the three layers. With more hidden layers,
DNNs have the ability to capture highly abstracted feature from training dataset. Fig. 3 shows a deep
neural network with three hidden layers. In comparison with conventional shallow learning
architectures, DNN has capability to model deep complex non-liner relationship by using distributed
and hierarchical feature representation. Various deep learning architectures such as convolution neural
network (CNN), recurrent neural network (RNN) have been applied to the domain of computer vision,
speech recognition, and natural language processing. RNN is an artificial neural network which solved
the problem of traditional neural network. It is powerful to handle sequential data. As shown in Figure
4a, RNNs are networks with inner loops at the hidden layers, allowing information to persist
(Schmidhuber, 2015). In a traditional ANN, it is assumed that all inputs (and outputs) are independent
of each other. Whereas, RNNs perform the same task for every element of a sequence, with the output
being depended on the previous computations.

Fig. 3. A deep neural network with multiple layers

Fig. 4. The structure of RNN 2

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Fig. 4b shows the unfolding in time of the computation involved in its forward computation. Also
presented in Fig. 4, the output ℎ is produced from input 𝑥 through neural network A. The loop
transfers the data to the next step. Via the loop, each independent data becomes dependent on each
other. RNN can be seen as multiple copies of the same network.

Fig. 5. Short-term memory of RNN

Fig. 5 indicates that RNN excels in short-term memory. The output ℎ contains the information of input
𝑋 , 𝑋 . However, Fig. 6 shows that RNN is not good at long-term memory. The output ℎ cannot
consider the information of input 𝑋 , 𝑋 . RNN processes the next data by memorizing the recent data
but it loses the information of previous data as time elapsed. This problem is called the problem of long
term dependencies. As the distance between output and input increases, RNN cannot learn the
information of input data.

Fig. 6. Long-term memory of RNN

LSTM is a specific version of RNN. LSTM outperforms other RNN-based models (Hochreiter &
Schmidhuber, 1997). It is useful because both the long term dependency problem and gradient
vanishing problem which occurs during backpropagation are solved. LSTM sums the weights instead
of multiplication to solve the vanishing gradient problem. Also, the model continuously transfers the
information of historical data to solve long term dependency problem. The structure of LSTM is given
in Fig. 7.

Fig. 7. The structure of LSTM

LSTM has four network layers for each module. It calculates the hidden layer using memory cell,
instead of neural. The yellow box represents the trained network layer (hidden layer). The green circle
indicates arithmetic operation such as vectored sum. The arrow is the flow of vector, which transfers
the entire single vector from the output of a node to the input of another node.
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Fig. 8. LSTM neural network consisting of the unrolled LSTM cells

LSTM is able to add or remove the information to cell state via the gate. It carefully controls this
procedure in the gate. As shown in Fig. 8, LSTM updates the information, selectively. The gate is
responsible to add or remove information selectively, and LSTM controls the gate to discard of memory
the previous information. In addition, the gate adds or eliminates new information. The gate is
composed of multiplication for each factor and the sigmoid network layer. The output of sigmoid layer
is between 0 and 1, which indicates the number of factors to be passed. The gate discards or eliminates
the information for output 0 whereas memorizes or adds the information for output 1. Fig. 9 represents
the LSTM network cell at time step t.

Fig. 9. LSTM network cell at time step t Fig. 10. The internal operation process of
LSTM
Fig. 10 depicts the operation process of LSTM’s memory cell. Forget gate determines which
information of previous cell state to be eliminated. It is composed of sigmoid functions and behaves
depending on the output of forget gate. Output 1 and 0 indicates retention and elimination, respectively.
Input gate determines whether to store the new data to cell state or not. In the input gate, the value to
be updated is determined by sigmoid function and the vector to be added to cell state is generated by
tanh function. Cell state updates the previous cell state to a new state. Output gate decides the final
output. It outputs the filtered value based on cell state.

4. Research design

This section applies the hierarchical ANFIS and LSTM models to the prediction of stock index. In this
study, an application related to the context of Vietnam (Vietnam index) is used as an illustration.
 Q.H. Do and T.V. Trang / Decision Science Letters 9 (2020) 201

4.1. Data description

In this study, the research data are daily opening prices of VNINDEX from January 3, 2001 to August
30, 2019 (Fig. 11). There are total 4538 trading days in this period. The data is divided into two datasets:
the first dataset with 70% of the source data are used for the model development (training) and the other
portion (30%) is for testing and evaluating the model.

Fig. 11. Daily opening prices of VNINDEX from January 3, 2001 to August 30, 2019
4.2. The proposed framework

The overall research process is shown in Fig. 12. First, VNINDEX data are collected. Then, the pre-
process is performed for analysis. In this step, NaN data and abnormal data are removed and normalized
is performed after extracting the necessary data and converting them to time series data. The pre-
processed data is separated as training and testing datasets. The model development is done by the use
of training dataset. Through the validation step with testing dataset, the optimal model is obtained.
Using the optimal model, the VNINDEX forecasting is conducted.

Data collection
Test set

Preprocessing Divide data

Forecasting Optimized
Train set Verification
model model

Forecating

Fig. 12. The development steps of forecasting model

4.3. Development of the hierarchical ANFIS-based model

The grid partition method was used for FIS (Fuzzy Inference System) generation. In our study, two
membership functions were chosen for each input in the model. The Gaussian membership function
was used in ANFIS model. The membership function output is linear. We have used lagged versions
of the variable, five input variables are given [(𝑥 − 5), (𝑥 − 4), (𝑥 − 3), (𝑥 − 2), (𝑥 − 1)]. As
discussed earlier, a two-layer ANFIS structure was introduced to decrease the dimension of the rule
202

base. Layers 1 have three input variables and layer 2 has two input variables; each layer has one output.
Fig. 13 represents the hierarchical ANFIS model, where x1-x5 are input variables and y represents one
output.

x5

x4

y
x3 ANFIS 2

x2 ANFIS 1

x1

Fig. 13. The HANFIS structure for proposed model

4.4. Development of the LSTM-based model

The number of layer was set equal to 5. The sequential structure with a linear stack of layers was applied
to the model development. The main parameters were set as follows: the dimensionality of the output
space is 50; the rectified linear unit was used as the activation function. The cost function was mean
squared error (𝑀𝑆𝐸).

4.5. Model evaluation

To evaluate the performance of the forecasting model, several performance indexes were used. These
criteria are applied to the developed model to know how well it works. The criteria were used to
compare predicted values and actual values. They are as follows:

Root mean squared error (𝑅𝑀𝑆𝐸): This index estimates the residual between the actual value and
desired value. A model has better performance if it has a smaller 𝑅𝑀𝑆𝐸. An 𝑅𝑀𝑆𝐸 equal to zero
represents a perfect fit.

1 m (8)
  t k  yk  ,
2
RMSE 
m k 1

where 𝑡 is the actual (desired) value, 𝑦 is the predicted value produced by the model, and 𝑚 is the
total number of samples. Mean absolute percentage error (𝑀𝐴𝑃𝐸): This index indicates an average of
the absolute percentage errors; a model has better performance if it has a smaller 𝑀𝐴𝑃𝐸.

1 m t k  yk (9)
MAPE  
m k 1 tk
.

Mean absolute error (𝑀𝐴𝐸): This index indicates how close predicted values are to the actual values.
A model with a lower 𝑀𝐴𝐸 means it has better performance.

1
m (10)
MAE 
m t
k 1
k  yk
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Correlation coefficient (𝑅): This criterion reveals the strength of relationships between actual values
and predicted values. The correlation coefficient has a range from 0 to 1, and a model with a higher 𝑅
means it has better performance.

 t  y 
m

k t k y
R k 1
,
(11)
 t   
m 2 m 2
k  t . yk  y
k 1 k 1

1 m 1 m
where t   tk
m k 1
and y   yk
m k 1
are the average values of 𝑡 and 𝑦 , respectively.
5. Results and discussions

Validation of HANFIS and LSTM models was performed with the testing data and the results of actual
and forecasting values of both studied models are shown in Fig. 14. Results indicated the the forecasting
values of VN index obtained from the testing dataset for HANFIS and LSTM models are in excellent
correlation with actual experimental values.

Fig. 14. Comparison between VNIndex predicted by HANFIS and LSTM models and actual

The average performance criteria for each model were calculated and are presented in Table 1. The
performance criteria RMSE, MAPE, MAE, and R obtained by HANFIS model were calculated as
12.5689, 0.0102, 7.9529, and 0.9976. Performance indexes calculated by LSTM are 9.9566, 0.0091,
7.0809, and 0.9987 for RMSE, MAPE, MAE, and R, respectively. Theoretically, a forecasting model
is regarded as good when 𝑅𝑀𝑆𝐸, MAPE, and MAE are small, and R is close to 1. It can be seen from
Table 1 that the LSTM model has smaller errors as well as a bigger R than those of the HANFIS model.
The performance criteria indicate that the assessed result is highly correlated and precise.

Table 1
Performance statistics of HANFIS and LSTM models
Model RMSE MAPE MAE R
HANFIS 12.5689 0.0102 7.9529 0.9976
LSTM 9.9566 0.0091 7.0809 0.9987

The simulation results by HANFIS and LSTM models are presented in Figs. 15-16. It can be clearly
observed that the actual values and the forecasting values obtained from the testing data of LSTM
204

model is in excellence agreement with the actual data (Fig. 15a). The corresponding errors between
actual and forecasting values are plotted in Fig. 15b, along with the histogram of error (Fig. 15c). The
values of errors were calculated as: 𝑀𝑆𝐸 = 99.1341, 𝑅𝑀𝑆𝐸 = 9.9566, 𝑚𝑒𝑎𝑛 𝑒𝑟𝑟𝑜𝑟 = 2.9313 and
standard deviation 𝑆𝑡. 𝐷 = 9.5188. The results obtained by HANFIS model was also highlighted in
Fig. 16. Similar observation is monitor for comparison between forecasting and actual values, with
satisfactory error values, for instances, 𝑀𝑆𝐸 = 157.9774, 𝑅𝑀𝑆𝐸 = 12.5689, 𝑚𝑒𝑎𝑛 𝑒𝑟𝑟𝑜𝑟 =
0.62617 and 𝑆𝑡. 𝐷 = 12.5579. It can be concluded that both HANFIS and LSTM models have the
effectiveness and good rate of success in forecasting. However, the results also indicate that the LSTM
model achieves better performances than the HANFIS model.

Fig. 15. VN Index forecasting performance by Fig. 16. VN Index forecasting performance by
LSTM model: (a) forecasting and actual values, HANFIS model: (a) forecasting and actual
(b) error value and (c) standard deviation values, (b) error value and (c) standard deviation

The comparison between actual values and corresponding output values obtained by the HANFIS and
LSTM model are also shown in Fig. 17. The figure presents scatter diagrams that illustrates the degree
of correlation between predicted values and actual values. In the figure, the 1:1 line was drawn as a
reference. In a scatter diagram, the 1:1 line represents that the two sets of data are identical. The more
the two data sets agree, the more the points tend to concentrate in the vicinity of the 1:1 line. It may be
observed that most predicted values are close to the actual values in Fig. 17, and this indicates a good
agreement between the forecasting values obtained by the HANFIS and LSTM models and the actual
values.

Fig. 17. The scatter plot of actual values and forecasts using HANFIS and LSTM models
 Q.H. Do and T.V. Trang / Decision Science Letters 9 (2020) 205

Based on the obtained results, it can be concluded that both the HANFIS and ANN models can be used
to predict VN Index. However, regarding forecasting accuracy, the LSTM model is highly appreciated.
The LSTM model outperformed the HANFIS model, and the results show that its prediction outcome
is more accurate and reliable. Hence, the LSTM may be acceptable and good enough to serve as a
forecasting tool in forecasting VN stock index.

6. Conclusions

Financial time series, i.e., stock price index, has characteristics of classical nonlinearity and instability.
In this study, we have analyzed and compared the ability of the ANFIS and LSTM models in forecasting
VN Index. Several criteria namely 𝑅𝑀𝑆𝐸, 𝑀𝐴𝑃𝐸, 𝑀𝐴𝐸 and 𝑅 were used to evaluate the performance
of the develop models. The results indicated that both ANFIS and LSTM can be promising tools for
stock price prediction in emerging markets, like Vietnam. However, it was also showed that LSTM
model was the most robust and powerful method, with respect to all performance criteria, for
forecasting VN Index. The study findings show the forecasting potential of the artificial intelligence
models in financial applications and are expected to provide an assistance and forecasting tool for
managers and policy makers. For future research, the authors are exploring more techniques for stock
index forecasting as ongoing research.

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