图 书 馆
使用语法演变的金融时间序列建模Modelling Financial Time Series using Grammatical Evolution |
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| 课程网址: | http://videolectures.net/amlcf09_adamu_mfts/ |
| 主讲教师: | Kamal Adamu |
| 开课单位: | 埃塞克斯大学 |
| 开课时间: | 2009-08-21 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | The traditional models of price, and its statistical signatures are often based on limiting assumptions, such as linearity. Moreover, the model developer is faced with the model selection problem, and model uncertainty. In this paper we introduce a method based on Grammatical Evolution (GE) to evolve models for predicting financial returns, and we examine the profitability of these models. Our empirical analysis demonstrates that for some securities our method is able to produce models of return that are lead to more profitable trading compared with an Autoregressive model picked using Aikake Information Criterion (AIC), under the assumption of frictionless markets. |
| 关 键 词: | 价格的传统模式; 限制性假设; 回波模型 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2020-06-29：yumf |
| 阅读次数: | 62 |