Forecasting of Net Asset Value of Indian Mutual Funds Using Firefly Algorithm-Based Neural Network Model
Mutual funds are considered as the simpler and hassle-free investment mechanism in India. The performance of various mutual funds is analysed by the investors before investing their money. Out of the different performance indicators of mutual funds, net a
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Abstract Mutual funds are considered as the simpler and hassle-free investment mechanism in India. The performance of various mutual funds is analysed by the investors before investing their money. Out of the different performance indicators of mutual funds, net asset value (NAV) happens to be one of them. The NAV data are nonlinear in nature. In this paper, the FLANN model is used for the 1-day and 5-day ahead NAV forecasting of two Indian mutual funds. The weights of the FLANN model are optimized using one of the bio-inspired algorithm, i.e. firefly algorithm. The prediction performance of the FLANN-FA model and basic FLANN are compared using RMSE and MAPE as evaluation measures. The simulation results indicate that the proposed model outperformed the basic FLANN model. Keywords Mutual fund · Firefly · Prediction performance · Functional expansion · Mean square error
1 Introduction Mutual fund is a financial intermediary that is pooled by the money of the investors for combined investment in various financial instruments. The profits earned by the fund are shared between the investors excluding its expenses. The resources of mutual fund increase by selling the units to the public [1]. Every mutual fund is associated with a professional fund manager. Its primary responsibility is to manage the fund. S. Hota (B) Department of Computer Application, ITER, Siksha O Anusandhan (Deemed to be University), Bhubaneswar 751030, Odisha, India e-mail: [email protected] S. P. Pati Department of Computer Science and Engineering, ITER, Siksha O Anusandhan (Deemed to be University), Bhubaneswar 751030, Odisha, India e-mail: [email protected] P. Satapathy Department of Computer Science and Applications, Utkal University, Bhubaneswar, Odisha, India e-mail: [email protected] © The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2021 R. Sharma et al. (eds.), Green Technology for Smart City and Society, Lecture Notes in Networks and Systems 151, https://doi.org/10.1007/978-981-15-8218-9_18
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The fund manager utilizes his management skills for the investment of the fund in securities including various other financial instruments. Mutual funds in India are open to every common people. The Indian mutual fund industry is perceiving a rapid growth due to the increase in the personal financial assets, infrastructure development and increase in public awareness. Mutual funds now become the preferred investment option of the common people [2]. NAV is an important component associated with mutual fund. The investors and the financial advisors study the NAV for a period of time as it is considered as one of the performance measures of the mutual fund and also a financial time series data [3]. Various statistical models have been developed to forecast the financial time series data [4, 5]. Most of these statistical models assume that the data set is generated from a linear process. However, the current financial time series data are dynamic,
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