Stock Market Index Prediction via Hybrid. Inertia Factor PSO and Constriction Coefficient PSO
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2014, Vol 4, Issue 3
Abstract
Conventional statistical techniques for forecasting are constrained by the underlying seasonality, non-stationary and other factors. Increasingly over the past decade, Artificial intelligence (AI) methods including Artificial Neural network (ANN), Genetic Algorithm (GA), and Particle Swarm Optimization (PSO) etc. have been used successfully to perform predictions in financial markets and other areas. This study presents a hybrid inertia factor and constriction coefficient PSO-based methodology to deal with the Stock market index problem. We will demonstrate the superiority an applicability of the proposed approach by using Tehran Stock Exchange Index (TSEI) data and comparing the outcomes with other PSO methods such as: standard PSO, Inertia Factor PSO and Constriction Coefficient PSO. Experimental results clearly show that a hybrid PSO approach meaningfully outperforms all of the other PSO methods in terms of MAD, MSE, RMSE and MAPE Evaluation statistics also, the proposed approach can be considered as a suitable AI model for stock market index forecasting problem.
Authors and Affiliations
Morteza Ashhar, Amin Rostami Motamed
Keywords
Related Articles
- EP ID EP110685
- DOI 10.6007/IJARAFMS/v4-i3/1108
- Views 108
- Downloads 0
The Role of Higher Education Institutions in Developing Science, Technology and Innovation in Romania
Currently methods and modern techniques of knowledge transmission and changes in the geography of knowledge production are certainly notable. The discoveries made in research institutions in a country of innovators can b...
Identifying the Effective Factors for the Improvement of Tax Compliance
The Precursor for Enhanced Rate of Individual Socio-Empowerment in a Funded Youth Group. Is it Access to Credit or Group Support System?
The unemployment and poverty has remained to be a major challenge in the world despite heavy investment directed towards youth and women empowerment initiatives. In doing so most Government and international organization...
Indicators calculated for Competitiveness Operational Programme
Effects of Individual Characteristics and Work Related Factors on the Turnover Intention of Accounting Professionals
Employee turnover is very costly for organizations. Apart from costs related to hiring of new employees, loss of experienced personnel may lead to a variety of problems in organizations such as decrease in productivity,...