Theory and Algorithms Commons^™

Automatically Defined Templates For Improved Prediction Of Non-Stationary, Nonlinear Time Series In Genetic Programming, David Moskowitz

CCE Theses and Dissertations

Soft methods of artificial intelligence are often used in the prediction of non-deterministic time series that cannot be modeled using standard econometric methods. These series, such as occur in finance, often undergo changes to their underlying data generation process resulting in inaccurate approximations or requiring additional human judgment and input in the process, hindering the potential for automated solutions.

Genetic programming (GP) is a class of nature-inspired algorithms that aims to evolve a population of computer programs to solve a target problem. GP has been applied to time series prediction in finance and other domains. However, most GP-based approaches to …