Name
Title | ||
|---|---|---|
Empirical analysis of model selection criteria for genetic programming in modeling of time series system. |
Abstract | ||
|---|---|---|
Genetic programming (GP) and its variants have been extensively applied for modeling of the stock markets. To improve the generalization ability of the model, GP have been hybridized with its own variants (gene expression programming (GEP), multi expression programming (MEP)) or with the other methods such as neural networks and boosting. The generalization ability of the GP model can also be improved by an appropriate choice of model selection criterion. In the past, several model selection criteria have been applied. In addition, data transformations have significant impact on the performance of the GP models. The literature reveals that few researchers have paid attention to model selection criterion and data transformation while modeling stock markets using GP. The objective of this paper is to identify the most appropriate model selection criterion and transformation that gives better generalized GP models. Therefore, the present work will conduct an empirical analysis to study the effect of three model selection criteria across two data transformations on the performance of GP while modeling the stock indexed in the New York Stock Exchange (NYSE). It was found that FPE criteria have shown a better fit for the GP model on both data transformations as compared to other model selection criteria. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1109/CIFEr.2013.6611702 | IEEE Conference on Computational Intelligence for Financial Engineering and Economics CIFEr |
Keywords | Field | DocType |
genetic programming,model selection,stock market,fitness function | Gene expression programming,Economics,Data transformation (statistics),Model selection,Genetic programming,Stock exchange,Artificial intelligence,Boosting (machine learning),Artificial neural network,Genetic algorithm,Machine learning | Conference |
ISSN | Citations | PageRank |
2380-8454 | 8 | 0.74 |
References | Authors | |
6 | 3 | |