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Empirical Study on Stock Market Through ARCH with Intelligence Algorithm

Author: HaiLiQieMu·ABuLaiTi
Tutor: XuWenBo；WuHeMin
School: Jiangnan University
Course: Computer technology
Keywords: Intelligence algorithm genetic algorithm ant colony algorithm particle swarm algorithm ARCH model GARCH model
CLC: F830.91
Type: Master's thesis
Year: 2009
Downloads: 115
Quote: 1
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Abstract


Optimization is a kind of applied technique to find optimal solutions in various engineering problems. For its wide application in these years, it is highly concerned and rapidly developed. With the expansion of application fields, the time and space complexity of optimization problems makes it more and more difficult to solve them, so that traditional optimization algorithm cannot meet the needs in practice in recent years, the birth of intelligent optimization algorithms provides new ideas and means to optimization techniques and the intelligent algorithms, which are applied widely and develop rapidly in science research, economics and engineering technology. Genetic algorithm、ant colony optimization algorithm and particle swarm optimization algorithm as the three of typical swarm intelligence show potential in solving complex optimization problems, and becomes a hot topic in scientific researches.The time series technology is an important tool in study of stock market. After study, we come to some evaluable conclusions. Time series from stock exchange has the following characteristics. First, it appears to be a random walk but may be not totally random. Second, it is easily and almost costless available. Time series method is a newly- developed quantitative method for yields satisfactory results in the aJlalysis of economic time series in which the involved factors are too many and the relationships between them are too complicated, leading to the application of theory-based quantitative predicting methods unworkable. It is difficult to estimate the parameters of ARCH family model, and swarm intelligence algorithms are use in the parameters estimates.In this essay, firstly the author introduces the significance and structure, and then introduce several typical swarm intelligence algorithms includes genetic algorithm、ant colony optimization algorithm and particle swarm optimization algorithm. Secondly, the author introduce the theory of time series models time series analysis model, and study the stock index through ARCH family model with intelligence algorithms, give the evaluation of model. Finally, the conclusion of this essay is given.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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