Predict the Stock price crash risk by using firefly algorithm and comparison with regression

Advances in Mathematical Finance and Applications

مقاله 4، دوره 3، شماره 2، شهریور 2018، صفحه 43-58   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2018.540830

نویسندگان

Serveh Farzad^{* 1}؛ Esfandiar Malekian¹؛ Hossein Fakhari¹؛ Jamal Ghasemi²

¹Department of Economy and Administration, University of Mazandaran, Babolsar, Iran

²Faculty of Engineering and Technology, University of Mazandaran, Babolsar, Iran

چکیده

Stock price crash risk is a phenomenon in which stock prices are subject to severe negative and sudden adjustments. So far, different approaches have been proposed to model and predict  the  stock price crash risk, which in most cases have been the main emphasis on the factors affecting it, and often traditional methods have been used for prediction. On the other hand, using  Meta Heuristic Algorithms, has led to a lot of research in the field of finance and accounting. Accordingly, the purpose of this research is to model the Stock price crash risk of listed companies in Tehran Stock Exchange using firefly algorithm and compare the results with multivariate regression as a traditional method. Of the companies listed on the stock exchange, 101 companies have been selected as samples. Initially, 19 independent variables were introduced into the model as input property of the particle accumulation algorithm, which was considered as a feature selection method. Finally, in each of the different criteria for calculating the risk Stock price crash risk, some optimal variables were selected, then using firefly algorithm and multivariate regression, the stock price crash risk was  predicted  and results were compared. To quantify the Stock price crash risk, three criteria for negative skewness, high fluctuations and maximum sigma have been used. Two methods of MSE and MAE have been used to compare the methods. The results show that the ability of meta-meta-heuristic methods to predict the risk Stock price crash risk is not  generally higher than the traditional method of multivariate regression, And the research hypothesis was not approved.

کلیدواژه‌ها

Cumulative motion of particle algorithms؛ Firefly Algorithm؛ Feature Selection؛ stock price Crash risk

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