Stock index return forecasting: semantics-based genetic programming with local search optimiser.
Mauro CastelliLeonardo VanneschiLeonardo TrujilloAles PopovicPublished in: Int. J. Bio Inspired Comput. (2017)
Keyphrases
- stock index
- genetic programming
- stock market
- empirical analysis
- stock exchange
- financial markets
- trading systems
- financial forecasting
- garch model
- stock price
- stock index futures
- portfolio management
- genetic algorithm
- fitness function
- financial time series
- evolutionary algorithm
- simulated annealing
- combinatorial optimization
- empirical studies
- search space
- tabu search
- theoretical analysis
- short term
- financial data
- portfolio selection
- risk management
- portfolio optimization
- transaction costs
- multi objective
- long term
- optimal solution