18-08-2015, 12:37 PM
bacterial foraging optimization algorithm matlab code
The Bacterial Foraging Optimization (BFO) algorithm is abiologically inspired computation technique which is based on mimickingthe foraging behavior of E.coli bacteria. This paper illustrates how a BFOalgorithm can be constructed and applied to solve parameter estimationof a EGARCH-M model which is then used for calibration of a volatilityoption pricing model. The results from the algorithm are shown to berobust and extendable, suggesting the potential of applying the BFO forfinancial modeling.
The Bacterial Foraging Optimization (BFO) algorithm is abiologically inspired computation technique which is based on mimickingthe foraging behavior of E.coli bacteria. This paper illustrates how a BFOalgorithm can be constructed and applied to solve parameter estimationof a EGARCH-M model which is then used for calibration of a volatilityoption pricing model. The results from the algorithm are shown to berobust and extendable, suggesting the potential of applying the BFO forfinancial modeling.