A Hybrid Approach for Modelling Financial Time Series

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@Article{Bautu2012,
  author =       "Elena Bautu and Alina Barbulescu",
  title =        "A Hybrid Approach for Modelling Financial Time
                 Series",
  year =         "2012",
  journal =      "The International Arab Journal of Information
                 Technology (IAJIT)",
  volume =       "9",
  number =       "4",
  pages =        "327--335",
  month =        jul,
  keywords =     "genetic algorithms, genetic programming, Gene
                 Expression Programming, Financial time series,
                 forecasting, ARMA, GEP, and hybrid methodolog",
  ISSN =         "1683-3198",
  URL =          "http://www.ccis2k.org/iajit/PDF/vol.9,no.4/2806-5.pdf",
  size =         "9 pages",
  abstract =     "The problem we tackle concerns forecasting time series
                 in financial markets. AutoRegressive Moving-Average
                 (ARMA) methods and computational intelligence have also
                 been used to tackle this problem. We propose a novel
                 method for time series forecasting based on a hybrid
                 combination of ARMA and Gene Expression Programming
                 (GEP) induced models. Time series from financial
                 domains often encapsulate different linear and
                 non-linear patterns. ARMA models, although flexible,
                 assume a linear form for the models. GEP evolves models
                 adapting to the data without any restrictions with
                 respect to the form of the model or its coefficients.
                 Our approach benefits from the capability of ARMA to
                 identify linear trends as well as GEP's ability to
                 obtain models that capture nonlinear patterns from
                 data. Investigations are performed on real data sets.
                 They show a definite improvement in the accuracy of
                 forecasts of the hybrid method over pure ARMA and GEP
                 used separately. Experimental results are analysed and
                 discussed. Conclusions and some directions for further
                 research end the paper.",
  notes =        "Zarqa Private University, Zarqa Jordan,
                 iajit@ccis2k.org",
}

Genetic Programming entries for Elena Bautu Alina Barbulescu

Citations