Explain the factors affecting stock liquidity using genetic algorithm and minimum and maximum correlation (MRMR) methods

Subject Areas : Financial engineering

Mahmoud Rezaei ¹ , Hossein Panahian ² , Mahdi Madanchi Zaj ³ , Hasan Ghodrati ⁴

1 - Department of Financial Engineering, Kashan Branch, Islamic Azad University, Kashan, Iran
2 - Department of Accounting and Management, Kashan Branch, Islamic Azad University, Kashan, Iran
3 - Department of Accounting and Management, Electronic Unit, Islamic Azad University, Tehran, Iran
4 - Department of Accounting and Management, Kashan Branch, Islamic Azad University, Kashan, Iran

Received: 2021-07-04 Accepted : 2022-01-25 Published : 2022-12-22

Keywords: Genetic Algorithm, Neural network, Keywords: Stock Liquidity, Minimum Redundancy and Maximum Relationship Method (MRMR),

Abstract :

Liquidity of stocks is an important challenge in the capital market. Identifying the factors affecting liquidity helps to predict the stock liquidity situation and thus stock risk management. The purpose of this study is to find the factors affecting the liquidity of stocks. For this purpose, in the first stage, using the research literature and experts, the influencing factors are identified and using the methods of minimum redundancy and maximum correlation (MRMR) and genetic algorithm, the effective variables are selected. In this research, using Excel software and existing raw data, the required data was created and then using support software and neural network toolbox and support vector machine was created. . Finally, the extracted variables using MRMR include stock market value, intensity of product market competition, GDP growth, equity returns, stock returns, inflation rate and family ownership, and using the financial model of financial leverage, government ownership, Equity returns, GDP growth, share buoyancy percentage, market type and board (on the stock exchange and OTC), the intensity of competition in the product market were selected.