Optimisation of Complex Financial Models Using Nature-Inspired Techniques

10 Pages Posted: 23 Jun 2011 Last revised: 31 Jan 2012

See all articles by Nikolaos S. Thomaidis

Nikolaos S. Thomaidis

School of Economics, Aristotle University of Thessaloniki

George D. Dounias

University of the Aegean - Department of Financial Engineering and Management

Magdalene Marinaki

affiliation not provided to SSRN

Ioannis Marinakis

affiliation not provided to SSRN

Date Written: January 31, 2012

Abstract

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

Keywords: Portfolio selection, ant colony optimisation, particle swarm intelligence, GARCH and EGARCH models

JEL Classification: C51, C63

Suggested Citation

Thomaidis, Nikolaos S. and Dounias, George D. and Marinaki, Magdalene and Marinakis, Ioannis, Optimisation of Complex Financial Models Using Nature-Inspired Techniques (January 31, 2012). Available at SSRN: https://ssrn.com/abstract=1089117 or http://dx.doi.org/10.2139/ssrn.1089117

Nikolaos S. Thomaidis (Contact Author)

School of Economics, Aristotle University of Thessaloniki

OPE building, University Campus
Thessaloniki, 54124
Greece

George D. Dounias

University of the Aegean - Department of Financial Engineering and Management ( email )

31 Fostini Str
Chios, GR 82 100
Greece

Magdalene Marinaki

affiliation not provided to SSRN ( email )

Ioannis Marinakis

affiliation not provided to SSRN ( email )

No Address Available

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