Genetic Algorithm

Adaptive Weighted Genetic Algorithm-Optimized SVR for Robust Long-Term Forecasting of Global Stock Indices for investment decisions ArXiv ID: 2512.15113 “View on arXiv” Authors: Mohit Beniwal Abstract Long-term price forecasting remains a formidable challenge due to the inherent uncertainty over the long term, despite some success in short-term predictions. Nonetheless, accurate long-term forecasts are essential for high-net-worth individuals, institutional investors, and traders. The proposed improved genetic algorithm-optimized support vector regression (IGA-SVR) model is specifically designed for long-term price prediction of global indices. The performance of the IGA-SVR model is rigorously evaluated and compared against the state-of-the-art baseline models, the Long Short-Term Memory (LSTM), and the forward-validating genetic algorithm optimized support vector regression (OGA-SVR). Extensive testing was conducted on the five global indices, namely Nifty, Dow Jones Industrial Average (DJI), DAX Performance Index (DAX), Nikkei 225 (N225), and Shanghai Stock Exchange Composite Index (SSE) from 2021 to 2024 of daily price prediction up to a year. Overall, the proposed IGA-SVR model achieved a reduction in MAPE by 19.87% compared to LSTM and 50.03% compared to OGA-SVR, demonstrating its superior performance in long-term daily price forecasting of global indices. Further, the execution time for LSTM was approximately 20 times higher than that of IGA-SVR, highlighting the high accuracy and computational efficiency of the proposed model. The genetic algorithm selects the optimal hyperparameters of SVR by minimizing the arithmetic mean of the Mean Absolute Percentage Error (MAPE) calculated over the full training dataset and the most recent five years of training data. This purposefully designed training methodology adjusts for recent trends while retaining long-term trend information, thereby offering enhanced generalization compared to the LSTM and rolling-forward validation approach employed by OGA-SVR, which forgets long-term trends and suffers from recency bias. ...

A Consolidated Volatility Prediction with Back Propagation Neural Network and Genetic Algorithm ArXiv ID: 2412.07223 “View on arXiv” Authors: Unknown Abstract This paper provides a unique approach with AI algorithms to predict emerging stock markets volatility. Traditionally, stock volatility is derived from historical volatility,Monte Carlo simulation and implied volatility as well. In this paper, the writer designs a consolidated model with back-propagation neural network and genetic algorithm to predict future volatility of emerging stock markets and found that the results are quite accurate with low errors. ...

Time-limited Metaheuristics for Cardinality-constrained Portfolio Optimisation ArXiv ID: 2307.04045 “View on arXiv” Authors: Unknown Abstract A financial portfolio contains assets that offer a return with a certain level of risk. To maximise returns or minimise risk, the portfolio must be optimised - the ideal combination of optimal quantities of assets must be found. The number of possible combinations is vast. Furthermore, to make the problem realistic, constraints can be imposed on the number of assets held in the portfolio and the maximum proportion of the portfolio that can be allocated to an asset. This problem is unsolvable using quadratic programming, which means that the optimal solution cannot be calculated. A group of algorithms, called metaheuristics, can find near-optimal solutions in a practical computing time. These algorithms have been successfully used in constrained portfolio optimisation. However, in past studies the computation time of metaheuristics is not limited, which means that the results differ in both quality and computation time, and cannot be easily compared. This study proposes a different way of testing metaheuristics, limiting their computation time to a certain duration, yielding results that differ only in quality. Given that in some use cases the priority is the quality of the solution and in others the speed, time limits of 1, 5 and 25 seconds were tested. Three metaheuristics - simulated annealing, tabu search, and genetic algorithm - were evaluated on five sets of historical market data with different numbers of assets. Although the metaheuristics could not find a competitive solution in 1 second, simulated annealing found a near-optimal solution in 5 seconds in all but one dataset. The lowest quality solutions were obtained by genetic algorithm. ...