Stock market prediction of S&P 500 and DJIA using Bacterial Foraging Optimization Technique

The present paper introduces the bacterial foraging optimization (BFO) technique to develop an efficient forecasting model for prediction of various stock indices. The connecting weights of the adaptive linear combiner based model are optimized by the BFO so that its mean square error(MSE) is minimized. The short and long term prediction performance of the model is evaluated with test data and the results obtained are compared with those obtained from the multilayer perceptron (MLP) based model. It is in general observed that the proposed model is computationally more efficient, prediction wise more accurate and takes less training time compared to the standard MLP based model.