Stock Market Forecasting Using Bio-Inspired

Computing
Kazi Shah Nawaz Ripon1, S. A. Ahsan Rajon2
1

Department of Computer and Information Science, Norwegian University of Science and Technology, Norway
1
Computer Science and Engineering Discipline, Khulna University, Bangladesh
2
Department of Computer Science, Khulna Public College, Bangladesh
Email: 1ksripon@idi.ntnu.no, 2rajon@kpcbd.org

Abstract Stock markets represent complex, nonlinear, everchanging, trading systems where traders (investors) are competing
for profit. In recent years, stock market forecasting has attracted
special attention among researchers. However, the irregular
nature and the complex behavior of stock data transform
forecasting into a very challenging task, and forecasting stock
indices has proven to be difficult. Recently bio-inspired algorithms
have emerged as an extremely useful tool for forecasting dynamic
systems like the stock market. Though considerable research has
already been done on various stock markets, relatively less
attention has been given to the Dhaka Stock Exchange (DSE) in
Bangladesh. This work presents a stock market forecasting system
based on hybridized bio-inspired algorithms for the DSE.
Experimental results show that the proposed system is useful for
forecasting stock market prices. This paper also presents a review
of the literature on applications of bio-inspired algorithms for
stock market forecasting.
Keywords Stock Market Forecasting; Dhaka Stock Exchange
(DSE); Bio-Inspired Algorithms; Genetic Algorithms.

I.

Introduction

The stock market (also known as the equity market or share

market) is an aggregation of buyers and sellers in which stocks
(also called shares) of publicly held companies are issued and
traded either through exchanges or over-the-counter markets.
Stock markets have serious impact on economies because they
provide a feasible mechanism to gain profit for companies, as
well as for the collective investors of a country. Thus, stock
markets mobilize national economies. In total, the world
derivatives market has been estimated at about US $791 trillion
face or nominal value, which is 11 times the size of the entire
worlds economy [1]. The net value of equity-backed securities
in the United States increased more than 600% in 25 years
between 1989 and 2012, as market capitalization expanded
from US $2789 billion to US $18668 billion [2]. Because of this
profitable financial potential, investors have a keen interest in
choosing stocks that will maximize profit in the return of
investment.
Stock market forecasting is the process used to predict in
advance the price of a companys stock available in the stock
market. Stock prices change every day as the result of the
The authors would like to thank Ministry of Education, Bangladesh for
initial support.

market forces of supply and demand. Depending on the demand

for and supply of stocks, the buying and selling of stocks
fluctuate, which ultimately results in a rise or fall in stock prices
that is totally uncertain.
Every stock market investor dreams of gaining big profits.
However, a lot of risk is involved in investing in the stock
market, because stock data is, by nature, highly noisy, irregular,
random, non-linear, non-seasonal and chaotic. Consequently, it
has always been a challenge for common investors and stock
buyers/sellers to predict a stock price. Predicting stock prices
also requires proper financial knowledge, analytical capability
and ability to discover the non-linear pattern hidden within a
particular stock market dataset [3]. Therefore, forecasting stock
index is a challenging and daunting task.
Selecting a stock to invest in depends on several economic
factors, including analysis of the company, annual growth rates
and market positions of the company, etc. In addition to these
economic factors, non-economic factors, like political effects
and the moods of typical individual investors, have always
played a crucial role in contributing uncertainty to stock
markets of developing countries like Bangladesh. As a result,
investors are highly uncertain regarding such markets.
The Dhaka Stock Exchange (DSE) is the largest of the two
stock exchanges of Bangladesh. In 2015, the combined market
capitalization of listed companies on the DSE stood at over US
$40 billion [4]. With Bangladesh being a developing country,
its stock market has some unique characteristics. Some of these
are amalgamations of ultra-small investors along with giant
investors, extreme variation in size of companies, and a
complex pattern to attain minimal profit. Considering these,
forecasting stock prices in the DSE is particularly complex.
Since early 2000, in Bangladesh, the average person's
interest in the stock market has grown exponentially. What was
once a toy of the rich has become the key for growing the profits
of average citizens. Despite this trend, however, most people
still do not fully understand stocks. Much investing is done
through wild guesses without any financial background, as well
as from conversations with others who share a similar lack of
knowledge. So much of this misinformation is based on a getrich-quick mentality, which was especially prevalent during the
2011 share-market scam in Bangladesh [5]. People thought that

stocks were the magic key to instant wealth with no risk.

However, millions of investors went bankrupt as a result of the
market crash, which many believe was caused artificially [6].
The situation would likely have been avoided by a good method
of forecasting the DSE. This motivated us to develop a
forecasting system for the DSE.
Different techniques are being used in the trading
community for stock market forecasting [7, 8, 9, 10]. Since
statistical methods can handle only linear data, they are unable
to follow the nonlinear pattern hidden within the stock data.
Ultimately, the classical statistical methods turn out to be
inadequate for forecasting stock data [3]. In recent years, bioinspired algorithms such as artificial neural networks (ANNs)
and genetic algorithms (GAs) have been applied to stock market
forecasting and demonstrate better performance than competing
approaches due to their ability to find patterns and irregularities
and to detect multi-dimensional, nonlinear connections in data
that is typical for the stock market [8, 10].
In particular, ANNs have seen an explosion of interest over
the last few years, and are being heavily applied in stock market
forecasting [11]. Since all bio-inspired algorithms have
advantages and disadvantages [12], developing hybridized bioinspired algorithms for stock market forecasting is clearly a
necessity. For example, ANNs have long training times,
whereas reducing training time is crucial because building a
neural network forecasting system is a process of trial and error.
Though GAs have already been successfully used in stock
market forecasting, they are prone to premature convergence
due to their working phenomena. Then again, GAs are well
suited for high-dimensional, complex search spaces. The basic
GA forms are broadly applicable across many diverse domains,
and, with flexible customizing, it is possible to incorporate
more knowledge of the domain. Therefore, GAs have been
found to be reliable, and are easily combined with other
techniques, to form hybrid techniques. Motivated by this, a
hybridized bio-inspired scheme for the DSE based on the GA
and the ANN with the neighborhood replica-window scheme
has been proposed in this paper for stock prices forecasting.
There have been very few studies on stock market
prediction in Bangladesh, and almost none that utilized bioinspired algorithms. This research attempts to forecast the stock
prices on the DSE by using hybrids of bio-inspired algorithms.
The proposed scheme has been empirically tested for a number
of companies listed on the DSE. Another motivation for this
research is to analyze the inherent features of the DSE by
exploring the trading patterns and consequent stock price
fluctuation model in the context of a developing country that is
mostly powered by small and middle investors.
Furthermore, this paper presents an extensive survey of the
literature on applications of bio-inspired algorithms for stock
market forecasting, and summarizes their advantages and
limitations. Experiment shows that the proposed scheme
performs better than the existing schemes in terms of the last
traded price, the close price, and the maximum/minimum price
with regard to various statistical measures like MSE, MAE,
RMSE, MMRE and related accuracy parameters.
This paper is organized into four sections. Starting with
introduction, in Section II, basic concepts on related

terminologies are presented. This section also presents an

extensive overview of the prominent models on stock market
forecasting. Section III provides some insight to the proposed
stock market forecasting scheme. Section IV describes the
performance of the proposed scheme from the perspective of
forecasting stock prices on the DSE. This paper concludes in
section V with directions towards future works.

II. Background
A high profit within the shortest possible time by investing
on a specific stock is the target of every stock market investor.
At the same time, their investments are not completely risk-free.
The selection of stock in which an investor would invest
depends on two-faced elements of a company profile: (1) the
perceived possibility of good future (short or long term future)
of the company in practical, and (2) sequence of thought and
reaction by the investors towards making profit without little
regard on the actual company status or success.
The predictability of the market is a widely discussed issue
among stock-market researchers. Efficient Market Hypothesis
(EMH) [13] is a well-known related hypothesis in finance. It
states that the current market price fully reflects all available
information, and each time that new information arises the
market corrects itself and absorbs it leaving no way for
prediction. Since news occur randomly and cannot be
forecasted, stock market prediction is very difficult. More
specifically the EMH has got three forms [13]:
Weak: Future stock prices cannot be predicted on the
basis of past stock prices.
Semi-Strong: Published information cannot be utilized to
predict future prices.
Strong: The market cannot be predicted, no matter what
information is available.
There are a number of existing works aiming to contribute
in stock market forecasting. Those can be divided into two
broad categories: (1) econometric models, and (2) bio-inspired
models
Econometric models are basically statistical based
approaches which intend to predict stock prices through Linear
Regression, Auto-regression and Auto-regression Moving
Average (ARMA), Autoregressive integrated moving average
(ARIMA), Autoregressive Conditional Heteroscedasticity
(ARCH),
Generalized
Autoregressive
Conditional
Heteroscedasticity (GARCH), and the like. The details of these
approaches are available in [14, 15]. Statistical methods are
simple and easier to implement. However, it can handle only
linear data. In addition, they are unable to follow the highly
noisy, irregular, random, non-linear, non-seasonal and chaotic
financial series. Since, real world stock data is highly nonlinear, irregular and random in nature, econometric approaches
often fails to predict the stock market properly.
Bio-inspired models are inspired by biologically inspired
computing which is a major subset of natural computation.
Because of their inherent capability of handling non-linear
complex data; bio-inspired models are more appropriate for
handling stock market data. It has been found that bio-inspired

models usually outperform the statistical and econometric

models in forecasting stock prices [3]. Most prominent bioinspired models to forecast stock market include genetic
algorithm (GA), artificial neural networks (ANN), fuzzy logic
(FL), particle swarm optimization (PSO), etc. An extensive
review of the most predominantly applied bio-inspired
techniques to stock market forecasting is available in [8, 10].

Since the beginning of the research on forecasting stock

market, PSO have been used to train the weights of different
neural networks architectures. However, the problem of poor
prediction accuracy remains unsolved [19]. This is mainly for
the pre-mature convergence tendency of the PSO. To overcome
this, many researchers hybridized PSO with several GA
operators.

GA is a search and optimization technique which follows

the principle of natural evolution and Darwinian principle of
survival of the fittest. GA has emerged as a prominent
solution to prediction and optimization problems. Since GA is
not based on error surface; multi-dimensional, non-differential
and even non-continuous problems can be solved by this
technique. Existing works justify that GA approaches
outperform the conventional models for stock market
forecasting [16]. However, GA based approaches do not assure
constant optimization response time and also lacks of its
optimality in implementing real time situations without getting
simulated.

Aboueldahab and Fakhreldin [19] proposed another GAPSO based model with perturbation term inspired by the passive
congregation of biological mechanism. Their goal was to
improve the prediction accuracy and to overcome the problem
of local search restriction which was observed in the standard
hybrid GA-PSO based models. Their method was able to
perform the global search in the whole search space to find new
regions with better performance.

ANNs imitate loosely the way that the neurons in human

brain function. An ANN is consisted of a set of interconnected
processing units called neurons. The processing ability of the
network is stored in the inter-unit connection weights, obtained
by a process of adaptation to, or learning from, a set of training
patterns. Neural Networks perform better in predicting stock
market. However, as the network becomes complicated, it
becomes sensitive to noise [11]. Consequently, trade off exists
between the representational power of a network and the noise
it will incorporate.
PSO is based on the movement and intelligence of swarms.
Applying the concept of social interaction to problem solving,
PSO uses a number of agents (particles) in the search space for
finding the best solution. Similar to GA, PSO also works with
initial random population, then evaluating fitness values and
updating fitness values as long as stopping criterion is met.
Dase and Pawar presented an overview of the literature
available on the stock market prediction [1]. Starting with the
history of neural networks, they presented a review of the
literature starting from 1991 to 2010 on applications of ANN
for stock market predictions. They concluded that ANN is very
useful for predicting world stock markets. However, their paper
doesnt concentrate on any critical issues of ANN in stock
market forecasting.
Isfan et al. shows that ANN can be used to uncover the nonlinearity that exists in the financial field in comparison with the
nearest neighbor algorithms [17]. Four types of neural networks
were trained for the stock markets and used the models to make
a forecast. By analyzing the response of various configurations
to the data series with specific characteristics; it was concluded
that ANN results better forecasting than k-nearest-neighbor
approaches.
Kaur and Mangat proposes a hybrid of differential evolution
(DE) and SVM model for stock price prediction [18]. Using the
daily datasets of Honeywell International Inc. (listed on NYSE)
and Apple Inc. (listed on NASDAQ), they compare their
prediction results with the outputs of SVM alone and PSOSVM model.

Mohapatra and Das employed GA, PSO, and DE for stock

market forecasting and presented a comparative study of the
same [8]. Presenting a good taxonomy of the bio-inspired
computing, the authors provide summarized concepts on
evolutionary computing (GA, DE) and swarm intelligence
(PSO, ACO, Bacterial Foraging Optimization).
A comparative study of PSO based hybrid Swarmnet and
simple FLANN (Functional Link Artificial Neural Network)
model has been illustrated in [20]. In this approach, both the
models were first trained with Local Minima Search (LMS)
algorithm and then with PSO algorithm. These are used to
forecast the stock indices of two different datasets i.e. NIFTY
and NASDAQ on different time horizons (one day, one week,
and one month ahead). The performance was evaluated on the
basis of Root Mean Square Error (RMSE) and Mean Absolute
Percentage Error (MAPE). Experimental results verified that
their approach outperforms the PSO based FLANN model, the
simple hybrid model trained with LMS and the simple FLANN
model trained with LMS.
Sheta et al. proposed a genetic programming (GP) based
prediction model for the Standards & Poors 500 (S&P500)
index [21]. They demonstrated some unique advantages of
using GP in stock market prediction like generating
mathematical models, which are simple to evaluate and having
powerful variable selection mechanism.
Aznarte et al. proposed a fuzzy model evolved through a
bio-inspired algorithm [22]. This work also presented the
performance of fuzzy rule-based model through an effective
evolutionary algorithm. In comparison to that of a group of
state-of-the-art statistical models, the authors justified that their
proposed model can forecasts consistently and outperforms the
other considered methods.
Feng and Chou developed a fuzzy stock prediction system
that integrates Stepwise Regression Analysis (SRA), autoclustering analysis, Recursive Least-Squares (RLS) and PSO
learning schemes to forecast the Taiwan stock indexes (TAIEX)
[23]. Their system is not only capable of automatically
initializing and creating the appropriate fuzzy architecture, but
it can also develop the stock model to accurately simulate the
actual trading of TAIEX. This study develops various stock
predictions examples for daily and weekly approximations for
training and testing phases based on historical TAIEX data. A

comparison with other learning methods shows that their

approach offers improved forecasting accuracy.
A scheme using DE based FLANN to predict the Indian
Stock Market Indices has been presented in [3]. This scheme
uses BP and DE algorithm respectively to optimize the
randomly chosen weights for forecasting the Indian stock prices
(indices) for one day, one week, two weeks and one month in
advance. The authors concluded that DE outperformed the BP
algorithm.

proposed scheme for forecasting stock index using hybridized

bio-inspired algorithms.
Assign Input Connection Weights
Assign hidden connection
weights

Neighborhood Replicators

Initial
Fluctuation
Function

Optimized Connection Weights

As mentioned earlier that though a lot of research has

already been done on various stock markets, very few studies
have been undertaken regarding stock market prediction in
Bangladesh. Khan et al. proposed a stock market prediction
system for Bangladesh using ANN [24]. They used BP
algorithm for training session and multilayer feedforward
network for predicting stock price.

III. Proposed Scheme for Stock

Discretize Input
Features

Artificial Neural Network

Crossover

Training
Data

Optimized Thresholds

Fitness Function
Mutation

Evaluation

Crossover
Mutation

Genetic Algorithm

Fig. 1. Proposed Scheme for Stock Market forecasting based on Hybridized

Bio-inspired Scheme

Price Forecast

IV. Analysis of the Forecasted

It is evident that, neither bio-inspired algorithms nor data

mining algorithms can solely forecast the stock market
properly. In case of using single bio-inspired technique, the
prediction accuracy is satisfactory for long term prediction.
However, for the day/week-wise predictions, there exists no
single bio-inspired algorithm that performs well. Because of
this two-fold criterion, we propose an automated stock market
forecasting system based on the GA hybridized with ANN with
feature discretization and salient feature of neighborhood
replica scheme.

Forecasting of Last Traded Price:

Data procured from the Dhaka Stock Exchange (DES) has
been used for the training and testing data. For n training data,
the proposed approach generates n future predictions. In the
following figures (Fig. 2 to Fig. 5), the actual value and
predicted value of the last traded price for random selection of
training data has been presented.

For predicting any stock price, previous prices of ten trading

days of the same stock has been considered. The neighborhood
parameter takes account of the average data fluctuations along
with a positive or negative fluctuation of random data within
the limit of maximum and minimum value fluctuation within
the last observed days. The polarity is determined by the
replicating phenomenon of the training data. This neighborhood
replicator parameter primarily facilitates toward optimizing the
connection weights which is the prime point of difference of
our adapted approach as proposed in [25]. This parameter is
used in conjunction with the optimized thresholds. Along with
the neighborhood replicator parameter, the following
parameters are used as the features and formulas for connection
weights of ANN as prescribed in [8].
For the GA, the parameters were selected based on the
standard findings on stock market predictions and other
forecasting literature. Initial population size was randomly
selected for value within the range of 10 to 40. Initial population
was chosen by analyzing the best of average MSE for varying
population sizes and then taking the best of average. The
crossover and mutation probabilities were 0.6 and 0.015,
respectively. Stopping Criteria was considered as 1000
generations. Maximum number of iterations during learning
was considered as 1000, and the learning coefficient used to
change within the range between 0.1 to 0.8. Maximum number
of iterations during neural network learning for fitness
calculation in GA was considered as 200. Fig. 1 presents the

Stock Price

17
15
13
11
9
7
5

ACTUAL DATA

PREDICTED DATA

GA

Fig. 2. Actual and Forecasted Last Traded Price Value for BANK ASIA
16.5
16
15.5
15
14.5
14
13.5
13
12.5
12

ACTUAL VALUE

PREDICTED VALUE

GA

Fig. 3. Actual and Forecasted Last Traded Price for ALARAFAH BANK

45

2350

43

2300

41

2250

39

2200

37

ACTUAL VALUE

Predicted

GA

GENETIC

14-08-2015

MAXIMUM

09-08-2015

10-07-2015

25

04-08-2015

2000

27

30-07-2015

2050

29
25-07-2015

2100

31
20-07-2015

2150

33

15-07-2015

35

PREDICTED

Fig. 7. Highest Price Prediction for Glaxo-Smith

Fig. 4. Actual and Forecasted Last Traded Price for BEXIMCO

30
28
26

45

24

40

22

35

20
18

30

16
14

25

12

20

10

29/04
30/04
04/05
05/05
06/05
07/05
10/05
11/05
12/05
13/05
14/05
17/05
18/05
19/05
20/05
21/05
24/05
25/05
26/05
27/05
28/05
31/05
01/06
02/06
04/06
07/06
08/06

15

ACTUAL

PREDICTED

HIGHEST

GA

PREDICTED

GENETIC

Fig. 8. Highest Price Prediction for Grameen Phone

Fig. 5. Actual and Forecasted Last Traded for BRAC Bank

65

Forecasting of Highest Price

The highest price has also been predicted using the same
approach. In the following figures (Fig. 6 to Fig. 9), some
random executions have been presented. Along with the highest
actual price and the predicted highest price using proposed
approach; we have also presented the predicted highest stock
price by applying the GA. Experiments show that, the proposed
hybridized scheme performs better than the simple GA
approach for the considered stocks, namely Exim Bank, GlaxoSmith, Grameen Phone, IDLC, Jamuna Oil and Titas Gas. The
patterns generated by GA is much more irregular than the actual
pattern.

60
55
50
45
40

HIGHEST

PREDICTED

GENETIC

Fig. 9. Highest Price Forecasting for IDLC

220

11

215

10

210
205

200

195

HIGHEST

PREDICTED

GENETIC

Fig. 6. Highest Price Forecasting for EXIM Bank

12-07-2015

09-07-2015

08-07-2015

07-07-2015

06-07-2015

05-07-2015

02-07-2015

180
30-06-2015

185

5
29-06-2015

190

6
28-06-2015

HIGHEST

PREDICTED

GENETIC

Fig. 10. Highest Price Forecasting for Jamuna Oil

Prediction of Lowest Price

The month-wise minimum traded price has also been
predicted for a number of stocks along the fiscal year 20142015 as presented in Fig. 11 to Fig. 13. The same has been
predicted using the GA. The experimental results show that
performance of the proposed scheme is better than the GA,
because the proposed scheme gets the trend information (the
upward sloping criteria towards the record date and the
downward sloping (or smoothly fluctuating) criteria of the
stock price from record date) from the training data and the
neighborhood replica scheme assists a lot in achieving better
performance.

Last Traded Price Forecasted on Weekly Basis

Fig. 14 shows the last traded price on weekly basis for the
period starting from January 01, 2014 to December 31, 2014.
The weekly data also resembles better performance by dint of
hybridized bio-inspired approach and neighborhood replica
scheme. The average error rate is also lower than that of the GA.
310
290
270
250

400

230

350

210

300

190

250

170

200

150
01-Jan-14
11-Jan-14
21-Jan-14
31-Jan-14
10-Feb-14
20-Feb-14
02-Mar-14
12-Mar-14
22-Mar-14
01-Apr-14
11-Apr-14
21-Apr-14
01-May-14
11-May-14
21-May-14
31-May-14
10-Jun-14
20-Jun-14
30-Jun-14
10-Jul-14
20-Jul-14
30-Jul-14
09-Aug-14
19-Aug-14
29-Aug-14
08-Sep-14
18-Sep-14
28-Sep-14
08-Oct-14
18-Oct-14
28-Oct-14
07-Nov-14
17-Nov-14
27-Nov-14
07-Dec-14
17-Dec-14
27-Dec-14

150
100
50

LTP

PREDICTED

GENETIC

Fig. 14. Weekly Last Traded Forecasting for Square Pharma

Lowest Price

Predicted

GA

Fig. 11. Minimum Price Forecasting of a Fiscal Year for Padma Oil

50
45
40
35
30
25
20
15
10
5
0

Fig. 15 presents the performance of the proposed scheme

against MSE (Mean Square Error) based on the DSE data from
January 01, 2013 to August 15, 2015. From the real-market
prices, conjoint data was chosen to evaluate the effectiveness of
the proposed scheme along with the data to train up the schema.
The performance in terms of MSE is presented in the following
graph for DE, GAFD and the proposed scheme. Experimental
results for the schemes on average of randomly selected data
shows that the proposed GAFD focused Neighborhood Replica
based scheme performs better in most cases. In comparison
with the only paper that worked on the DSE [24], average error
rate of our proposed scheme (1.038) is better.
5
4

LOW

predicted

GA

Fig. 12. Minimum Price Forecasting of a Fiscal Year for Beximco

2
1

18

16
14
12
10
8

DE

6
4

GAFD

Proposed

Fig. 15. Comparison of Various Schemes for Stock Market Forecasting

2
0

Lowest Price

predicted

GA

Fig. 13. Minimum Price Prediction of a Fiscal Year for Al-Arafah Bank

From the experimental results, it can be found that for the

stock price following the previous trend can be predicted pretty
easily while the mean square error for the stock price fluctuating
abruptly. The performance of predicting highest stock price
using the proposed approach is also better than that of

predicting the last traded price. This is because the

neighborhood replica scheme takes the conjoint readings of
previous trading days into account that leads towards a concrete
and consistent or at least a threshold paradigm of trend. In case
of using the GA only, the fitness function gets priority in terms
of the lowest mean square error rather than the followed pattern
towards the next and subsequent value that leaves the scope to
improve the result by using the proposed neighborhood replica
scheme which ensures better optimization process.

V. Conclusion
The applications of hybridized bio-inspired algorithms have
demonstrated excellent performance than competing
approaches in many cases. Therefore, it is not surprising that
recently a number of hybridized bio-inspired algorithms have
been applied to stock market forecasting. However, such
approaches are extremely rare for the Dhaka Stock Exchange
(DSE) in Bangladesh. In this paper, a hybridized bio-inspired
scheme for the DSE has been presented. To demonstrate the
efficiency of the proposed approach, we analyzed the 24
months stock data for the DSE main index, as well as 10
different companies listed in the DSE. Experimental results
show that the proposed approach performs better than the
existing schemes in terms of the last traded price, the close
price, and the maximum/minimum price with regard to various
statistical measures. An overview on the bio-inspired
algorithms for stock market forecasting has also been
incorporated in this paper.

[9]

[10]

[11]

[12]

[13]

[14]

[15]

[16]

[17]

[18]

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