The Compare of Power Fire Flies Algorithm Prediction, Decision Making Tree Algorithm and the Support Vector Machine Regression Algorithm for Systematic Risk Predicti
Subject Areas : Financial engineeringalireza eslampour 1 , roya darabi 2
1 - Deparment of accounting, south Tehran Branch, islamic azad University. Tehran, Iran
2 - Deparment of accounting, south Tehran Branch, islamic azad University. Tehran, Iran.
Keywords: Systematic Risk, G35, M41, Fireflies Algorithm, Decision tree algorithm and Backgammon Vector Regression Algorithm. JEL: G14,
Abstract :
Financial and economic decisions are always at risk due to future uncertainties. Therefore, one of the ways to help investors is to provide investment risk forecasting patterns. The more predictions are closer to reality, the decisions made on the basis of such predictions will be correct. In this research, the goal of predicting the systematic risk of companies admitted to Tehran Stock Exchange using artificial neural network software and three night-worm algorithms, decision tree algorithm and backup vector machine regression algorithm. For this research, a sample of 92 companies from listed companies in Tehran Stock Exchange during the period 2013 to 2018 has been used. The results obtained from the research hypothesis test showed that the predictive power of systematic risk in the night cream algorithm is more than the decision tree algorithm and the support vector machine regression algorithm, as well as the predictive power of the decision tree algorithm in relation to the backup vector machine regression algorithm It is higher for systematic risk prediction
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