Genetic Programming for Financial Time Series Prediction
This paper describes an application of genetic programming to forecasting financial markets that allowed the authors to rank first in a competition organized within the CEC2000 on “Dow Jones Prediction”. The approach is substantially driven by the rules of that competition, and is characterized by individuals being made up of multiple GP expressions and specific genetic operators.
KeywordsGenetic Programming Option Price Genetic Operator Mutation Probability Selection Ratio
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