Application of Harris Hawks Optimization Algorithm and APSO-CLUSTERING in Predicting the Stock Market

kground and Objectives: Stock markets have a key role in the economic situation of the countries. Thus one of the major methods of flourishing the economy can be getting people to invest their money in the stock market. For this purpose, reducing the risk of investment can persuade people to trust the market and invest. Hence, Productive tools for predicting the future of the stock market have an undeniable effect on investors and traders’ profit.Methods: In this research, a two-stage method has been introduced to predict the next week's index value of the market, and the Tehran Stock Exchange Market has been selected as a case study. In the first stage of the proposed method, a novel clustering method has been used to divide the data points of the training dataset into different groups and in the second phase for each cluster’s data, a hybrid regression method (HHO-SVR) has been trained to detect the patterns hidden in each group. For unknown samples, after determining their cluster, the corresponding trained regression model estimates the target value. In the hybrid regression method, HHO is hired to select the best feature subset and also to tune the parameters of SVR.Results: The experimental results show the high accuracy of the proposed method in predicting the market index value of the next week. Also, the comparisons made with other metaheuristics indicate the superiority of HHO over other metaheuristics in solving such a hard and complex optimization problem. Using the historical information of the last ۲۰ days, our method has achieved ۹۹% accuracy in predicting the market index of the next ۷ days while PSO, MVO, GSA, IPO, linear regression and fine-tuned SVR has achieved ۶۷%, ۹۸%, ۳۸%, ۴%, ۵.۶% and ۹۸ % accuracy respectively.Conclusion: in this research we have tried to forecast the market index of the next m (from ۱ to ۷) days using the historical data of the past n (from ۱۰ to ۱۰۰) days. The experiments showed that increasing the number of days (n), used to create the dataset, will not necessarily improve the performance of the method.

Keywords:

Tehran Stock Market , Harris Hawks Optimization (HHO) , Support Vector Regression (SVR) , APSO-Clustering , Metaheuristics