Predicting Iranian financial intermediation industry Stock Performance with RAM model and Simulated Annealing Algorithm

The paper's main objective is to predict intermediation industry stock performance one year ahead with composite Generalized DEA and Simulated Annealing.The most prominent point which was existed in this paper, is selecting the outputs and inputs for calculating the efficiency scores. This kind of calculating was done by using the Generalized data envelopment analysis way. The simulated annealing was used for determining inputs and outputs for generalized data envelopment analysis, which has the most correlation with its own one year later performance. The consequences of this method was determined the outputs and input of the Generalized data envelopment analysis function. The use of the generalized data envelopment analysis caused the efficiency scores of the individual sample elements. In the next step we plotted the Regression line of the efficiency scores. Again, we calculated the generalized data envelopment analysis functions by using the outputs and inputs in current year. Then, we put all of the results in the Regression line equation, which was calculated in the previous step and calculated the stock performance in one year later.

کلیدواژه ها:

Generalized data envelopment analysis ، simulated annealing ، correlation ، stock performance