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Optimization of complex financial models using nature inspired techniques

Marinakis Ioannis, Marinaki Magdalini, Dounias, G, Thomaidis, Nick D

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URI: http://purl.tuc.gr/dl/dias/CAA487C7-1FA6-466C-96FB-B1E429DDB7F9
Year 2007
Type of Item Conference Full Paper
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Bibliographic Citation N. Thomaidis, Y. Marinakis, M. Marinaki , G. Dounias,"Optimization of complex financial models using nature Inspired techniques ,"in 2007 3rd Annual Symp.(NISIS) ,doi:10.2139/ssrn.1089117 https://doi.org/10.2139/ssrn.1089117
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Conference Publications in Community School of Production Engineering and Management

Summary

This paper discusses applications of nature-inspired techniques in optimisationproblems encountered in portfolio selection and applied econometrics. By means of an empiricalstudy, we show how particle swarm intelligence can be effectively used in the estimation of aGARCH and an EGARCH model, two popular econometric parametrisations for the volatilityof financial prices. We discuss several issues emerging from the application of nature-inspiredtechniques in financial optimisation.

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