Purpose – The purpose of this paper is to present a new quantum‐inspired evolutionary hybrid intelligent (QIEHI) approach, in order to overcome the random walk dilemma for stock market prediction. Design/methodology/approach – The proposed QIEHI method is inspired by the Takens' theorem and performs a quantum‐inspired evolutionary search for the minimum necessary dimension (time lags) embedded in the problem for determining the characteristic phase space that generates the financial time series phenomenon. The approach presented in this paper consists of a quantum‐inspired intelligent model composed of an artificial neural network (ANN) with a modified quantum‐inspired evolutionary algorithm (MQIEA), which is able to evolve the complete ANN architecture and parameters (pruning process), the ANN training algorithm (used to further improve the ANN parameters supplied by the MQIEA), and the most suitable time lags, to better describe the time series phenomenon. Findings – This paper finds that, initially, the proposed QIEHI method chooses the better prediction model, then it performs a behavioral statistical test to adjust time phase distortions that appear in financial time series. Also, an experimental analysis is conducted with the proposed approach using six real‐word stock market times series, and the obtained results are discussed and compared, according to a group of relevant performance metrics, to results found with multilayer perceptron networks and the previously introduced time‐delay added evolutionary forecasting method. Originality/value – The paper usefully demonstrates how the proposed QIEHI method chooses the best prediction model for the times series representation and performs a behavioral statistical test to adjust time phase distortions that frequently appear in financial time series.
International Journal of Intelligent Computing and Cybernetics – Emerald Publishing
Published: Mar 30, 2010
Keywords: Stock markets; Time series analysis; Financial forecasting; Programming and algorithm theory; Neural nets