International Conference on Computer and Knowledge Engineering

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Stock market prediction using multi-objective optimization

Authors :

Mahshid Zolfaghari¹ Hamid Fadishei² Mohsen Tajgardan³ Reza Khoshkangini⁴

1- University of Bojnord 2- University of Bojnord 3- Qom University of Technology 4- Malmo University

Keywords :

Evolutionary Algorithms،Feature Selection،Dimensionality،Financial Market Forecasting

Abstract :

Forecasting in financial markets is challenging due to the inherent randomness of financial data sources and the vast number of factors that affect the market trends. Thus, it is essential to find informative elements within the vast number of available factors to enhance the performance of the predictive models in such a vital context. This makes the feature selection process an integral part of the financial prediction. In this paper, we propose a multi-objective evolutionary algorithm to reduce the number of features employed to predict the yearly performance of the US stock market. The primary idea is to select a smaller set of features with the slightest similarity and the best prediction accuracy. In this practice, we have utilized genetic algorithm, XGBoost and correlation in order to obtain a more diverse set of features which increases the performance. Experiential results show that our proposed approach is able to reduce the number of features significantly while maintaining comparable prediction accuracy.