Using genetic algorithms for forecasting financial markets volatility

الملخص EN

This study aims to use Genetic Algorithms, as a developed artificial intelligent technique to forecast volatility of financial markets according to Econometrics principals.

Therefore, we try to apply it on three stock markets depending on their indexes time series: Tunindex, Madex and Dow Jones.

Using Evolver software, we succeeded to obtain the optimal forecasting models, and then we make a comparison with Econometrics methods.

From the results, we conclude that it is possible to use Genetic Algorithms efficiently in financial markets volatility forecasting, in addition it has some advantages concerning analytical characteristics comparing to the other methods.