Dynamics of Predictability and Variable Influences Identified in Financial Data Using Sliding Window Machine Learning

Created by W.Langdon from gp-bibliography.bib Revision:1.4420

@InProceedings{5023,
  author =       "Stephan M. Winkler and Gabriel K. Kronberger and 
                 Michael Kommenda and Stefan Fink and 
                 Michael Affenzeller",
  title =        "Dynamics of Predictability and Variable Influences
                 Identified in Financial Data Using Sliding Window
                 Machine Learning",
  booktitle =    "Computer Aided Systems Theory, EUROCAST 2015",
  year =         "2015",
  editor =       "Roberto Moreno-Diaz and Franz Pichler and 
                 Alexis Quesada-Arencibia",
  volume =       "9520",
  series =       "Lecture Notes in Computer Science",
  pages =        "326--333",
  address =      "Las Palmas, Gran Canaria, Spain",
  month =        feb,
  publisher =    "Springer",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-3-319-27340-2",
  URL =          "https://link.springer.com/chapter/10.1007/978-3-319-27340-2_41",
  DOI =          "doi:10.1007/978-3-319-27340-2_41",
  abstract =     "in this paper we analyse the dynamics of the
                 predictability and variable interactions in financial
                 data of the years 2007--2014. Using a sliding window
                 approach, we have generated mathematical prediction
                 models for various financial parameters using other
                 available parameters in this data set. For each
                 variable we identify the relevance of other variables
                 with respect to prediction modelling. By applying
                 sliding window machine learning we observe that changes
                 of the predictability of financial variables as well as
                 of influence factors can be identified by comparing
                 modeling results generated for different periods of the
                 last 8 years. We see changes of relationships and the
                 predictability of financial variables over the last
                 years, which corresponds to the fact that relationships
                 and dynamics in the financial sector have changed
                 significantly over the last decade. Still, our results
                 show that the predictability has not decreased for all
                 financial variables, indeed in numerous cases the
                 prediction quality has even improved.",
}

Genetic Programming entries for Stephan M Winkler Gabriel Kronberger Michael Kommenda Stefan Fink Michael Affenzeller

Citations