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A Study On Financial Time Series Forecasting And Symbolic Regression By Means Of A Hybrid Probabilistic Model-Building Cartesian Genetic Programming Methodology

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posted on 23.05.2021, 09:53 by Mahsa Mostowfi
This work proposes a hybrid algorithm called Probabilistic Incremental Cartesian Genetic Pro- gramming (PI-CGP), which integrates an Estimation of Distribution Algorithm (EDA) with Carte- sian Genetic Programming (CGP). PI-CGP uses a fixed-length problem representation and the algorithm constructs a probabilistic model of promising solutions. PI-CGP was evaluated on sym- bolic regression problems and next trading day stock price forecasting. On the symbolic regression problems PI-CGP did not outperform other approaches. The reason could be premature convergence and being trapped at a local minimum. However, PI-CGP was competitive at stock market forecasting. It was comparable to a fusion model employing a Hidden Markov Model (HMM). HMMs are extensively used for time-series forecasting. This result is promising considering the volatile nature of the stock market and that PI-CGP was not customized toward forecasting.

History

Language

eng

Degree

Master of Science

Program

Computer Science

Granting Institution

Ryerson University

LAC Thesis Type

Thesis