AN EXPERT SYSTEM FOR STOCKS PRICE FORECASTING AND PORTFOLIO OPTIMIZATION USING FUZZY NEURAL NETWORK, FUZZY MODELING AND GENETIC ALGORITHM

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ZAMANI MOHSEN; AFSAR AMIR; SAGHAFI NEZHAD SEYYED VAHID; BAYAT ELHAM

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 107-130

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Title

AN EXPERT SYSTEM FOR STOCKS PRICE FORECASTING AND PORTFOLIO OPTIMIZATION USING FUZZY NEURAL NETWORK, FUZZY MODELING AND GENETIC ALGORITHM

Author(s)

ZAMANI MOHSEN | AFSAR AMIR | SAGHAFI NEZHAD SEYYED VAHID | BAYAT ELHAM | Issue Writer Certificate

Keywords

OPTIMAL PORTFOLIOQ2

FUZZY-NEURAL NETWORKSQ2

STOCK PRICEQ2

FUZZY MODELINGQ2

GENETIC ALGORITHMQ2

Abstract

One of the most important challenges among the investors in the world of stock market is to maximize the return with taking minimum number of risks.The investors are always looking to find the best values for the stocks with minimum risk and maximum profit. The best financial model proposed, is the selection of an OPTIMAL PORTFOLIO, which has been inspired by the classical theory of Markowitz. He believed that the excepted value and variance is based on the return distribution. The model based on mean-variance may not be ideal for investors since the return of their assets may not have a normal distribution. The study showed that this model is not practical and may not be the best choice for the investors in terms of risk that is involved. In contrary, other risk measures such as skewness might be more appropriate. Any investor involved in any investment program, should not only look into the history of the stock but also the future growth of that stock. The objective of current research is to develop a financial model for portfolio selection based on mean-variance and meanvariance skewness by using neuro-fuzzy network to forecast STOCK PRICE. Finally, these proposed models could be solved by using the state of art genetic evolutionary algorithm. The empirical results will show that the proposed models will provide more profit to investors comparing that to conventional models and stock market index.

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APA: Copy

ZAMANI, MOHSEN, AFSAR, AMIR, SAGHAFI NEZHAD, SEYYED VAHID, & BAYAT, ELHAM. (2015). AN EXPERT SYSTEM FOR STOCKS PRICE FORECASTING AND PORTFOLIO OPTIMIZATION USING FUZZY NEURAL NETWORK, FUZZY MODELING AND GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 107-130. SID. https://sid.ir/paper/197688/en

Vancouver: Copy

ZAMANI MOHSEN, AFSAR AMIR, SAGHAFI NEZHAD SEYYED VAHID, BAYAT ELHAM. AN EXPERT SYSTEM FOR STOCKS PRICE FORECASTING AND PORTFOLIO OPTIMIZATION USING FUZZY NEURAL NETWORK, FUZZY MODELING AND GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):107-130. Available from: https://sid.ir/paper/197688/en

IEEE: Copy

MOHSEN ZAMANI, AMIR AFSAR, SEYYED VAHID SAGHAFI NEZHAD, and ELHAM BAYAT, “AN EXPERT SYSTEM FOR STOCKS PRICE FORECASTING AND PORTFOLIO OPTIMIZATION USING FUZZY NEURAL NETWORK, FUZZY MODELING AND GENETIC ALGORITHM,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 107–130, 2015, [Online]. Available: https://sid.ir/paper/197688/en

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