Development and Evaluation of Decision-Making Model for Stock Markets

Authors:
Jovita Nenortaite;Rimvydas Simutis
Affiliations:
Faculty of Humanities, Vilnius University Kaunas, Kaunas, Lithuania 44280;Faculty of Humanities, Vilnius University Kaunas, Kaunas, Lithuania 44280
Venue:
Journal of Global Optimization
Year:
2006

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Abstract

The paper introduces an intelligent decision-making model which is based on the application of artificial neural networks (ANN) and swarm intelligence technologies. The proposed model is used to generate one-step forward investment decisions for stock markets. The ANN are used to make the analysis of daily stock returns and to calculate one day forward decision for purchase of the stocks. Subsequently the Particle Swarm Optimization (PSO) algorithm is applied in order to select the "the best" ANN for the future investment decisions and to adapt the weights of other networks towards the weights of the best network. The experimental investigations were made considering different forms of decision-making model: different number of ANN, ANN inputs, sliding windows, and commission fees. The paper introduces the decision-making model, its evaluation results and discusses its application possibilities.