Using string invariants for prediction searching for optimal parameters

DOI10.1016/J.PHYSA.2015.10.050MaRDI QIDQ1619060zbMATH OpenOpenAlexFDO

Authors M. Bundzel, Tomáš Kasanický, R. Pincak

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.06003

zbMATH Keywords

artificial intelligenceevolutionary optimizationstring theory and string invariants

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Abstract: We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have implemented an evolutionary algorithm for the parametric optimization. We have tested the performance of the method on artificial and real world data and compared the performance to statistical methods and to a number of artificial intelligence methods. We have used data and the results of a prediction competition as a benchmark. The results show that the method performs well in single step prediction but the methods performance for multiple step prediction needs to be improved. The method works well for a wide range of parameters.

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Cites work

• scientific article; zbMATH DE number 3974816 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A First Course in String Theory
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• String Theory

Cited in

(4)

• GARCH in spinor field
• Word prediction using a clustered optimal binary search tree
• Identification of market trends with string and D2-brane maps
• The study of Thai stock market across the 2008 financial crisis

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