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Computational Economics

, Volume 47, Issue 2, pp 219–253 | Cite as

Financial Time Series Modeling and Prediction Using Postfix-GP

  • Vipul K. Dabhi
  • Sanjay Chaudhary
Article
  • 381 Downloads

Abstract

Financial time series prediction is considered as a challenging task. The task becomes difficult due to inherent nonlinear and non-stationary characteristics of financial time series. This article proposes a combination of wavelet and Postfix-GP, a postfix notation based genetic programming system, for financial time series prediction. The discrete wavelet transform approach is used to smoothen the time series by separating the fluctuations from the trend of the series. Postx-GP is then employed to evolve models for the smoothen series. The out-of-sample prediction capability of evolved solutions is tested on two stocks price and two stock indexes series. The results are compared with those obtained using ECJ, a Java based evolutionary framework. The nonparametric statistical tests are applied to evaluate the significance of the obtained results.

Keywords

Financial time series prediction Postfix genetic programming One-step prediction Multi-step prediction 

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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.Department of Information TechnologyDharmsinh Desai UniversityNadiadIndia
  2. 2.Institute of Engineering and TechnologyAhmedabad UniversityAhmadabadIndia

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