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Modeling intraday information in financial markets with the scatter search metaheuristic

Author

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  • Carlos Gomes da Silva

    (School of Technology and Management, Polytechnic Institute of Leiria, Morro do Lena, Alto Vieiro, 2401-951 Leiria, Portugal;
    INESC-Coimbra, Rua Antero de Quental, 199 3000-033 Coimbra, Portugal)

Abstract

Intraday information about stocks or financial indexes is important for the definition of investors' strategies. In this paper two problems where the intraday information is used are studied: (i) modeling a bandwidth for the range of daily maximum and daily prices/values; (ii) modeling an upper and a lower bounds for the daily maximum and daily prices/values. A non-linear transformation of a modified AR(p) process is used, with the parameters computed by the scatter search metaheuristic. The approach is tested with historical data from NASDAQ, DAX, CAC40 and S&P financial series.

Suggested Citation

  • Carlos Gomes da Silva, 2015. "Modeling intraday information in financial markets with the scatter search metaheuristic," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-22.
    • Handle: RePEc:wsi:ijfexx:v:02:y:2015:i:02:n:s2424786315500218
    DOI: 10.1142/S2424786315500218
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    Cited by:

    1. Jiajun Zhu & Yuqing Wan & Yain-Whar Si, 2018. "A Language for Financial Chart Patterns," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(05), pages 1537-1560, September.

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