Dynamics of Predictability and Variable Influences Identified in Financial Data Using Sliding Window Machine Learning

  • Stephan M. WinklerEmail author
  • Gabriel Kronberger
  • Michael Kommenda
  • Stefan Fink
  • Michael Affenzeller
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9520)


In this paper we analyze the dynamics of the predictability and variable interactions in financial data of the years 2007–2014. Using a sliding window approach, we have generated mathematical prediction models for various financial parameters using other available parameters in this data set. For each variable we identify the relevance of other variables with respect to prediction modeling. By applying sliding window machine learning we observe that changes of the predictability of financial variables as well as of influence factors can be identified by comparing modeling results generated for different periods of the last 8 years. We see changes of relationships and the predictability of financial variables over the last years, which corresponds to the fact that relationships and dynamics in the financial sector have changed significantly over the last decade. Still, our results show that the predictability has not decreased for all financial variables, indeed in numerous cases the prediction quality has even improved.


Sliding Window HeuristicLab Strict Offspring Selection Classification Confidence Majority Vote Wins 
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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Stephan M. Winkler
    • 1
    • 3
    Email author
  • Gabriel Kronberger
    • 1
  • Michael Kommenda
    • 1
    • 3
  • Stefan Fink
    • 2
  • Michael Affenzeller
    • 1
    • 3
  1. 1.Hagenberg Campus Heuristic and Evolutionary Algorithms LaboratoryUniversity of Applied Sciences Upper AustriaHagenbergAustria
  2. 2.Department of EconomicsJohannes Kepler University LinzLinzAustria
  3. 3.Institute for Formal Models and VerificationJohannes Kepler University LinzLinzAustria

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