Empirical Analysis of Model Selection Criteria for Genetic Programming in Modeling of Time Series System

Created by W.Langdon from gp-bibliography.bib Revision:1.8120

@InProceedings{Garg:2013:CIFEr,

• author = "A. Garg and S. Sriram and K. Tai",
• title = "Empirical Analysis of Model Selection Criteria for Genetic Programming in Modeling of Time Series System",
• booktitle = "2013 IEEE Symposium Series on Computational Intelligence",
• year = "2013",
• editor = "P. N. Suganthan",
• pages = "90--94",
• address = "Singapore",
• month = "16-19 " # apr,
• keywords = "genetic algorithms, genetic programming, AIC, FPE, PRESS, fitness function, model selection, stock market",
• DOI = "doi:10.1109/CIFEr.2013.6611702",
• size = "5 pages",
• abstract = "Genetic programming (GP) and its variants have been extensively applied for modelling of the stock markets. To improve the generalisation ability of the model, GP have been hybridised with its own variants (gene expression programming (GEP), multi expression programming (MEP)) or with the other methods such as neural networks and boosting. The generalisation ability of the GP model can also be improved by an appropriate choice of model selection criterion. In the past, several model selection criteria have been applied. In addition, data transformations have significant impact on the performance of the GP models. The literature reveals that few researchers have paid attention to model selection criterion and data transformation while modelling stock markets using GP. The objective of this paper is to identify the most appropriate model selection criterion and transformation that gives better generalised GP models. Therefore, the present work will conduct an empirical analysis to study the effect of three model selection criteria across two data transformations on the performance of GP while modelling the stock indexed in the New York Stock Exchange (NYSE). It was found that FPE criteria have shown a better fit for the GP model on both data transformations as compared to other model selection criteria.",
• notes = "CIFEr 2013, also known as \cite{6611702}",

}

Genetic Programming entries for Akhil Garg Sriram Srivatsav Kang Tai

Citations