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 EP88779
- DOI 10.6007/IJARAFMS/v4-i3/1108
- Views 108
- Downloads 0
Effects of Estimating Systematic Risk in Equity Stocks in the Nairobi Securities Exchange (NSE) (An Empirical Review of Systematic Risks Estimation)
The Relationship between Parasocial breakup and Investor Behaviours
Parasocial breakup is concerning with the ending of psychological or emotional relationship between viewers and the TV persona/personae. The purpose of study is to investigate the effect of parasocial breakups on the in...
Effects of Use of Derivatives on Financial Performance of Companies Listed in the Nairobi Security Exchange
The Causal Relationship between Financial Decisions and Their Impact on Financial Performance
This study aimed to find a causal relationship between financial decisions (investment decision, Financing decision, and the dividend decision) and the causal relationship between those decisions and the financial perfor...
The Impact of Shariah Approved Companies on the Relationship between Corporate Governance Structure and Voluntary Disclosure of Interim Financial Reporting in Jordan
This study examines the impact of shariah approved companies on the relationship between corporate governance structure and voluntary disclosure of half-yearly reports in Jordan, focusing on variables that affect volunta...