FORECASTING STOCK EXCHANGE INDEX USING PARTICLE SWARM OPTIMIZATION COMPARING TO TRADITIONAL MODELS

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DAMOORI DARUSH; FARID DARUSH; ASHHAR MORTEZA

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Journal: JOURNAL OF ACCOUNTING KNOWLEDGE Year:2011 | Volume:2 | Issue:5 Page(s): 7-30

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Information Journal Paper

Title

FORECASTING STOCK EXCHANGE INDEX USING PARTICLE SWARM OPTIMIZATION COMPARING TO TRADITIONAL MODELS

Author(s)

DAMOORI DARUSH | FARID DARUSH | ASHHAR MORTEZA | Issue Writer Certificate

Keywords

PARTICLE SWARM OPTIMIZATION ALGORITHMQ3

SIMPLE EXPONENTIAL SMOOTHINGQ3

HOELT-WINTERS EXPONENTIAL SMOOTHINGQ3

AUTO REGRESSIVEQ3

MOVING AVERAGEQ3

AUTO REGRESSIVE INTEGRATED MOVING AVERAGEQ3

Abstract

The stock market is one of the most attractive investment choice from which a large amount of profit can be earned. This study presents a PSO-based methodology to deal with Stock market index prediction. The study showed superiority in applicability of the proposed approach by using Tehran Stock Exchange Index (TSEI) and comparing the outcomes with conventional method such as SIMPLE EXPONENTIAL SMOOTHING (SES), HOELT-WINTERS EXPONENTIAL SMOOTHING (HWES), AUTO REGRESSIVE (AR), MOVING AVERAGE (MA), AUTO REGRESSIVE Integrated MOVING AVERAGE (ARIMA). Experimental results clearly showed that PSO approach meaningfully outperforms all of the conventional method in terms of MAD, MSE, RMSE and MAPE.Additionally, evaluation statistics of the proposed approach significantly decrees variance of the errors compared to the conventional method.

Cites

References

MODELING OF PREDICTION STOCK PRICE BY USING NEURAL NETWORKS AND COMPARE IT WITH MATHEMATICAL PREDICTION METHODS

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APA: Copy

DAMOORI, DARUSH, FARID, DARUSH, & ASHHAR, MORTEZA. (2011). FORECASTING STOCK EXCHANGE INDEX USING PARTICLE SWARM OPTIMIZATION COMPARING TO TRADITIONAL MODELS. JOURNAL OF ACCOUNTING KNOWLEDGE, 2(5), 7-30. SID. https://sid.ir/paper/163442/en

Vancouver: Copy

DAMOORI DARUSH, FARID DARUSH, ASHHAR MORTEZA. FORECASTING STOCK EXCHANGE INDEX USING PARTICLE SWARM OPTIMIZATION COMPARING TO TRADITIONAL MODELS. JOURNAL OF ACCOUNTING KNOWLEDGE[Internet]. 2011;2(5):7-30. Available from: https://sid.ir/paper/163442/en

IEEE: Copy

DARUSH DAMOORI, DARUSH FARID, and MORTEZA ASHHAR, “FORECASTING STOCK EXCHANGE INDEX USING PARTICLE SWARM OPTIMIZATION COMPARING TO TRADITIONAL MODELS,” JOURNAL OF ACCOUNTING KNOWLEDGE, vol. 2, no. 5, pp. 7–30, 2011, [Online]. Available: https://sid.ir/paper/163442/en

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