Modeling intraday information in financial markets with the scatter search metaheuristic

Carlos Gomes da Silva ()
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Carlos Gomes da Silva: School of Technology and Management, Polytechnic Institute of Leiria, Morro do Lena, Alto Vieiro, 2401-951 Leiria, Portugal;

International Journal of Financial Engineering (IJFE), 2015, vol. 02, issue 02, 1-22

Abstract: Intraday information about stocks or financial indexes is important for the definition of investors' strategies. In this paper two problems where the intraday information is used are studied: (i) modeling a bandwidth for the range of daily maximum and daily prices/values; (ii) modeling an upper and a lower bounds for the daily maximum and daily prices/values. A non-linear transformation of a modified AR(p) process is used, with the parameters computed by the scatter search metaheuristic. The approach is tested with historical data from NASDAQ, DAX, CAC40 and S&P financial series.

Keywords: Time series; non-linear models; financial markets; technical analysis; metaheuristics (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S2424786315500218

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