- author = "Mahesh S. Khadka and K. M. George and N. Park and J. B. Kim",
- title = "Performance Analysis of Hybrid Forecasting Model In Stock Market Forecasting",
- journal = "International Journal of Managing Information Technology",
- year = "2012",
- volume = "4",
- number = "3",
- pages = "81--88",
- month = aug,
- keywords = "genetic algorithms, genetic programming, concordance, ARIMA, stock market forecasting, Kendall tau, gini mean difference, Spearman rho, quantitative finance, statistical finance, computer science, computational engineering, finance, science, Standard and Poor's 500",
- publisher = "Academy \& Industry Research Collaboration Center (AIRCC)",
- bibsource = "OAI-PMH server at www.doaj.org",
- oai = "oai:doaj-articles:e3186e89c872235db2c6934770967eab",
- bibsource = "OAI-PMH server at export.arxiv.org",
- oai = "oai:arXiv.org:1209.4608",
- ISSN = "0975-5586",
-
URL = "
http://arxiv.org/abs/1209.4608",
-
URL = "
http://airccse.org/journal/ijmit/papers/4312ijmit07.pdf",
-
DOI = "
10.5121/ijmit.2012.4307",
- size = "8 pages",
- abstract = "This paper presents performance analysis of hybrid model comprise of concordance and Genetic Programming (GP) to forecast financial market with some existing models. This scheme can be used for in depth analysis of stock market. Different measures of concordances such as Kendalls Tau, Ginis Mean Difference, Spearmans Rho, and weak interpretation of concordance are used to search for the pattern in past that look similar to present. Genetic Programming is then used to match the past trend to present trend as close as possible. Then Genetic Program estimates what will happen next based on what had happened next. The concept is validated using financial time series data (S and P 500 and NASDAQ indices) as sample data sets. The forecasted result is then compared with standard ARIMA model and other model to analyse its performance.",
-
notes = "http://airccse.org/journal/ijmit/contact.html Also
known as
\cite{oai:doaj-articles:e3186e89c872235db2c6934770967eab},
Oklahoma State University, USA Also known as \cite{oai:arXiv.org:1209.4608,}",
