Support vector regression with modified firefly algorithm for stock price forecasting

• DOI: 10.1007/s10489-018-1351-7
• Publication Date: 2018-12-01T20:36:21Z
• Authors: Jun Zhang; Yu-Fan Teng; Wei Chen
• Keywords: 0202 electrical engineering, electronic engineering, information engineering; 02 engineering and technology

The support vector regression (SVR) has been employed to deal with stock price forecasting problems. However, the selection of appropriate kernel parameters is crucial to obtaining satisfactory forecasting performance. This paper proposes a novel approach for forecasting stock prices by combining the SVR with the firefly algorithm (FA). The proposed forecasting model has two stages. In the first stage, to enhance the global convergence speed, a modified version of the FA, which is termed the MFA, is developed in which the dynamic adjustment strategy and the opposition-based chaotic strategy are introduced. In the second stage, a hybrid SVR model is proposed and combined with the MFA for stock price forecasting, in which the MFA is used to optimize the SVR parameters. Finally, comparative experiments are conducted to show the applicability and superiority of the proposed methods. Experimental results show the following: (1) Compared with other algorithms, the proposed MFA algorithm possesses superior performance, and (2) The proposed MFA-SVR prediction procedure can be considered as a feasible and effective tool for forecasting stock prices.