Search Results - subject:"genetic programming"

FORECASTING HIGH-FREQUENCY FINANCIAL DATA VOLATILITY VIA NONPARAMETRIC ALGORITHMS: EVIDENCE FROM TAIWAN'S FINANCIAL MARKETS

LEE, WO-CHIANG - In: New Mathematics and Natural Computation (NMNC) 02 (2006) 03, pp. 345-359

This paper uses two computational intelligence algorithms, namely, artificial neural networks (ANN) and genetic … programming (GP), for forecasting the volatility of high-frequency TAIEX financial data with four different horizons and compares …

Persistent link: https://www.econbiz.de/10005050797

Co evolution of Genetic Programming Based Agents in an Artificial Stock Market

Martinez Jaramillo Serafin.; Tsang Edward P. K.; … - Society for Computational Economics - SCE - 2006

The complexity of the financial markets, represents a big challenge to the specialist in the area. The traditional way of coping with the analysis of such systems is the use of analytical models. However, the analytical models present some difficulties and this has leaded to the development of...

Persistent link: https://www.econbiz.de/10005342955

Genetic multi-model composite forecast for non-linear prediction of exchange rates

Álvarez-Díaz, Marcos; Álvarez, Alberto - In: Empirical Economics 30 (2005) 3, pp. 643-663

Persistent link: https://www.econbiz.de/10005382184

EXTENDED DAILY EXCHANGE RATES FORECASTS USING WAVELET TEMPORAL RESOLUTIONS

KABOUDAN, MAK - In: New Mathematics and Natural Computation (NMNC) 01 (2005) 01, pp. 79-107

Applying genetic programming and artificial neural networks to raw as well as wavelet-transformed exchange rate data … showed that genetic programming may have good extended forecasting abilities. Although it is well known that most predictions … obtained using genetic programming outperformed the one- and sixteen-step-ahead random walk US dollar/Taiwan dollar exchange …

Persistent link: https://www.econbiz.de/10005047296

Time Series Properties Under Price Limits

Yeh, Chia-Hsuan - Society for Computational Economics - SCE - 2005

trader' behavior is modeled by genetic programming …

Persistent link: https://www.econbiz.de/10005706287

The Effectiveness of Margin Requirements: Agent-Based Modeling Approach

Tzeng, Yi-Feng; Yang, Chung-Yi; Yeh, Chia-Hsuan - Society for Computational Economics - SCE - 2005

-based artificial stock market in which trader' behavior is modeled by genetic programming …

Persistent link: https://www.econbiz.de/10005706301

SPECULATIVE STRATEGIES IN THE FOREIGN EXCHANGE MARKET BASED ON GENETIC PROGRAMMING PREDICTIONS

ÃLVAREZ, MARCOS ALVAREZ-DIAZ AND ALBERTO - Society for Computational Economics - SCE - 2005

In this paper, we investigate the out-of-sample forecasting ability of a genetic program to approach the dynamic evolution of the Yen/US$ and Pound Sterling/US$ exchange rates, and verify whether the method can beat the random walk model. Later on, we use the predicted values to generate a...

Persistent link: https://www.econbiz.de/10005342994

A functional modularity approach to agent-based modeling of the evolution of technology

Chen, Shu-Heng; Chie, Bin-Tzong - In: The complex networks of economic interactions : essays …, (pp. 165-178). 2005

Persistent link: https://www.econbiz.de/10003254091

Discussing the Survivability Issue in Agent-Based Artificial Stock Market

Huang, Ya-Chi; Chen, Shu-Heng - Society for Computational Economics - SCE - 2004

Blume and Easly [1992] show that if agents have the same savings rule, an expected discounted logarithmic utility maximizer with correct beliefs will dominate. If no agent adopts this rule, then agents with incorrect beliefs, but equally averse to risk as logarithmic utility maximizers, may...

Persistent link: https://www.econbiz.de/10005132783

Application of genetic programming to finance and operations management

Kleinau, Peer Bruno Paul - 2004 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001876095