Title :
An Artificial Immune Model for Abnormal Fluctuation of Stock Price
Author :
Ze-jun, Wu ; Jia, Chen ; Huan, Yang ; Lin, Lv ; Xin-an, Wang
Author_Institution :
Shenzhen Grad. Sch., Peking Univ., Shenzhen
Abstract :
The abnormal fluctuation of stock price is a harmful factor for the stock market, and how to correctly identify the abnormal fluctuation seems to be important. For the prevailing uncertain conditions in the stock market, static method is limited during detecting anomaly. In this paper, artificial immune principle is used to distinguish the "self" and "non-self" of stock price fluctuation through immune method, such as Negative Selection Algorithm, and a capable artificial immune model SPAF-M is built to intelligently sense, detect and defense the abnormal fluctuation of stock price. In order to improve risk management of the stock market, a novel risk evaluation function is proposed to judge an unknown object anomaly or not. It will be a challenge to apply immunity idea to stock market in our future work.
Keywords :
artificial immune systems; pricing; risk management; stock markets; abnormal fluctuation; artificial immune model; artificial immune principle; immune method; negative selection algorithm; risk evaluation function; risk management; static method; stock market; stock price fluctuation; Computational intelligence; Economic forecasting; Educational institutions; Fluctuations; Genetic mutations; Laboratories; Predictive models; Statistical analysis; Stock markets; Uncertainty; Abnormal fluctuation of stock price; Artificial immunology; Negative selection;
Conference_Titel :
Computational Intelligence and Design, 2008. ISCID '08. International Symposium on
Conference_Location :
Wuhan
Print_ISBN :
978-0-7695-3311-7
DOI :
10.1109/ISCID.2008.89