2005
DOI: 10.1515/jisys.2005.14.2-3.123
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Grammar-Mediated Time-Series Prediction

Abstract: Grammatical Evolution is a data-driven, model-induction tool, inspired by the biological gene-to-protein mapping process. This study examines the potential of Grammatical Evolution to uncover useful technical trading rulesets for intra-day equity trading. The form of these rule-sets is not specified ex-ante but emerges by means of an evolutionary process. High-frequency price data drawn from United States stock markets is used to train and test the model. The findings suggest that the developed rules earn posi… Show more

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Cited by 3 publications
(1 citation statement)
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References 17 publications
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“…A total of four test datasets were used in our investigations, two drawn from the UCI machine learning repository [16], and two financial datasets which have been used in prior studies [17], [18], [19], [20]. All of the datasets consist of a binary classification problem and have between eight and thirty input variables.…”
Section: Experimental Approachmentioning
confidence: 99%
“…A total of four test datasets were used in our investigations, two drawn from the UCI machine learning repository [16], and two financial datasets which have been used in prior studies [17], [18], [19], [20]. All of the datasets consist of a binary classification problem and have between eight and thirty input variables.…”
Section: Experimental Approachmentioning
confidence: 99%