A hybrid genetic-neural architecture for stock indexes forecasting

Authors:
G. Armano;M. Marchesi;A. Murru
Affiliations:
DIEE, University of Cagliari, Piazza d'Armi, I-09123, Cagliari, Italy;DIEE, University of Cagliari, Piazza d'Armi, I-09123, Cagliari, Italy;DIEE, University of Cagliari, Piazza d'Armi, I-09123, Cagliari, Italy
Venue:
Information Sciences: an International Journal - Special issue: Computational intelligence in economics and finance
Year:
2005

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Abstract

In this paper, a new approach for time series forecasting is presented. The forecasting activity results from the interaction of a population of experts, each integrating genetic and neural technologies. An expert of this kind embodies a genetic classifier designed to control the activation of a feedforward artificial neural network for performing a locally scoped forecasting activity. Genetic and neural components are supplied with different information: The former deal with inputs encoding information retrieved from technical analysis, whereas the latter process other relevant inputs, in particular past stock prices. To investigate the performance of the proposed approach in response to real data, a stock market forecasting system has been implemented and tested on two stock market indexes, allowing for account realistic trading commissions. The results pointed to the good forecasting capability of the approach, which repeatedly outperformed the "Buy and Hold" strategy.