On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?

DOI10.1007/978-3-540-77477-8_11MaRDI QIDQ3521776zbMATH OpenOpenAlexFDO

Authors Nicolas Navet, Shu-Heng Chen

Publication date 26 August 2008

Published in Natural Computing in Computational Finance (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/inria-00192350/file/NN_SHC_Springer2008.pdf

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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(4)

• Discovering interesting patterns for investment decision making with GLOWER -- a genetic learner overlaid with entropy reduction
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• Windows of predictability in financial markets: a Shannon entropy approach
• Price predictability at ultra-high frequency: entropy-based randomness test

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