Realised volatility forecasting: A genetic programming approach.
Zheng YinAnthony BrabazonConall O'SullivanMichael O'NeillPublished in: CEC (2015)
Keyphrases
- genetic programming
- exchange rate
- garch model
- financial forecasting
- financial time series
- stock market
- fitness function
- grey model
- symbolic regression
- foreign exchange
- short term
- evolutionary computation
- evolutionary algorithm
- stock price
- grammar guided genetic programming
- classification rules
- genetic algorithm
- forecasting model
- gene expression programming
- stock index futures
- chinese stock market
- medium term
- evolutionary approaches
- hyper heuristics
- long term
- support vector regression
- turning points
- multivariate time series
- non stationary
- financial crisis
- long run
- regression problems
- financial markets
- electricity consumption
- elman neural network
- neural network