Heuristic procedures for improving the predictability of a genetic programming financial forecasting algorithm

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• 作者：Michael Kampouridis ; Fernando E. B. Otero
• 关键词：Genetic programming ; Financial forecasting ; EDDIE ; Sequential covering ; Dynamic discretisation
• 刊名：Soft Computing
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：21
• 期：2
• 页码：295-310
• 全文大小：
• 刊物类别：Engineering
• 刊物主题：Computational Intelligence; Artificial Intelligence (incl. Robotics); Mathematical Logic and Foundations; Control, Robotics, Mechatronics;
• 出版者：Springer Berlin Heidelberg
• ISSN：1433-7479
• 卷排序：21

文摘

Financial forecasting is an important area in computational finance. Evolutionary Dynamic Data Investment Evaluator (EDDIE) is an established genetic programming (GP) financial forecasting algorithm, which has successfully been applied to a number of international financial datasets. The purpose of this paper is to further improve the algorithm’s predictive performance, by incorporating heuristics in the search. We propose the use of two heuristics: a sequential covering strategy to iteratively build a solution in combination with the GP search and the use of an entropy-based dynamic discretisation procedure of numeric values. To examine the effectiveness of the proposed improvements, we test the new EDDIE version (EDDIE 9) across 20 datasets and compare its predictive performance against three previous EDDIE algorithms. In addition, we also compare our new algorithm’s performance against C4.5 and RIPPER, two state-of-the-art classification algorithms. Results show that the introduction of heuristics is very successful, allowing the algorithm to outperform all previous EDDIE versions and the well-known C4.5 and RIPPER algorithms. Results also show that the algorithm is able to return significantly high rates of return across the majority of the datasets.