Predicting The Stock’ s Price Bid-Ask Spread Using The Artificial Bee Colony Algorithm (ABC(

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Naderi Ebrahim; Esmaeilzade Maghari Ali

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Title

Predicting The Stock’ s Price Bid-Ask Spread Using The Artificial Bee Colony Algorithm (ABC(

Author(s)

Naderi Ebrahim | Esmaeilzade Maghari Ali | Issue Writer Certificate

Keywords

Stocks Price Bid Ask SpreadQ1

Artificial Bee AlgorithmQ1

Panel Data ModelQ1

Abstract

The purpose of this paper is to investigate the behavior of the difference between the bid and ask price spread and the factors affecting it, based on an intelligent model. The the bid and ask price spread is one of the criteria for assessing the liquidity risk of stocks and the selection of stocks in the investment portfolio. Therefore, this study, by estimating the effect of companies' financial variables on the amount of the bid and ask price spread in the form of nonlinear and intelligent model of artificial bee colony (ABC) and comparing it with conventional linear models, seeks to provide a solution to reduce the the bid-ask price spread. Accordingly, among the companies listed on the Tehran Stock Exchange, 129 companies have been selected. The findings of this paper show that the estimated and analytical results of the nonlinear model based on ABC algorithm are better than the linear model based on panel data.

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APA: Copy

Naderi, Ebrahim, & Esmaeilzade Maghari, Ali. (2021). Predicting The Stock’ s Price Bid-Ask Spread Using The Artificial Bee Colony Algorithm (ABC(. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 12(48 ), 121-147. SID. https://sid.ir/paper/382864/en

Vancouver: Copy

Naderi Ebrahim, Esmaeilzade Maghari Ali. Predicting The Stock’ s Price Bid-Ask Spread Using The Artificial Bee Colony Algorithm (ABC(. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2021;12(48 ):121-147. Available from: https://sid.ir/paper/382864/en

IEEE: Copy

Ebrahim Naderi, and Ali Esmaeilzade Maghari, “Predicting The Stock’ s Price Bid-Ask Spread Using The Artificial Bee Colony Algorithm (ABC(,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 12, no. 48 , pp. 121–147, 2021, [Online]. Available: https://sid.ir/paper/382864/en

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