FORECASTING SMOOTHED NON-STATIONARY TIME SERIES USING GENETIC ALGORITHMS
DOI10.1142/S0129183107011133zbMATH Open1138.62057MaRDI QIDQ3499093FDOQ3499093
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Publication date: 28 May 2008
Published in: International Journal of Modern Physics C (Search for Journal in Brave)
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59)
Cites Work
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- Testing for nonlinearity in time series: the method of surrogate data
- Ergodic theory of differentiable dynamical systems
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- Multiscale behaviour of volatility autocorrelations in a financial market
- Multifractal nature of stock exchange prices
- Using evolutionary programming to schedule tasks on a suite of heterogeneous computers
- Self-averaging phenomenon and multiscaling in Hong Kong stock market
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