Forecasting Stock Returns with Fuzzy HEAVY-r Model using Genetic Algorithm

Youssra Bakkali, Mhamed EL Merzguioui, Abdelhadi Akharif

2021

Abstract

Financial returns expose complex dynamics that are difficult to capture with classical econometric models, the most common feature in financial series is volatility clustering. We propose the Fuzzy HEAVY-r model for modelling and predicting returns of the CAC40 stock market index. This model has been developed by a combination of the fuzzy inference system and the HEAVY-r model. A Genetic Algorithm (GA) based parameters estimation algorithm is suggested to obtain the optimal solution for the fuzzy membership function and the HEAVY-r model. We apply these models to the high-frequency financial data regularly spaced in time (every minute) and (every five minutes), and we compared it with the Fuzzy GARCH model and the classical models. The results indicate that the Fuzzy HEAVY-r model outperforms other models in out of sample evaluation according to RMSE.

Paper Citation

in Harvard Style

Bakkali Y., EL Merzguioui M. and Akharif A. (2021). Forecasting Stock Returns with Fuzzy HEAVY-r Model using Genetic Algorithm. In Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML, ISBN 978-989-758-559-3, pages 316-320. DOI: 10.5220/0010733300003101

in Bibtex Style

@conference{bml21,
author={Youssra Bakkali and Mhamed EL Merzguioui and Abdelhadi Akharif},
title={Forecasting Stock Returns with Fuzzy HEAVY-r Model using Genetic Algorithm},
booktitle={Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML,},
year={2021},
pages={316-320},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010733300003101},
isbn={978-989-758-559-3},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 2nd International Conference on Big Data, Modelling and Machine Learning - Volume 1: BML,
TI - Forecasting Stock Returns with Fuzzy HEAVY-r Model using Genetic Algorithm
SN - 978-989-758-559-3
AU - Bakkali Y.
AU - EL Merzguioui M.
AU - Akharif A.
PY - 2021
SP - 316
EP - 320
DO - 10.5220/0010733300003101