Modeling Daily Financial Market Data by Using Tree-Based Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{conf/cit/AriA21a,

• author = "Davut Ari and Baris Baykant Alagoz",
• title = "Modeling Daily Financial Market Data by Using Tree-Based Genetic Programming",
• booktitle = "2021 International Conference on Information Technology, ICIT",
• year = "2021",
• pages = "382--386",
• address = "Amman, Jordan",
• month = "14-15 " # jul,
• publisher = "IEEE",
• keywords = "genetic algorithms, genetic programming",
• isbn13 = "978-1-6654-2870-5",
• bibdate = "2021-10-14",
• bibsource = "DBLP, http://dblp.uni-trier.de/db/conf/cit/cit2021.html#AriA21a",
• DOI = "doi:10.1109/ICIT52682.2021.9491652",
• abstract = "A behavioural modelling of financial markets based on daily data is not an easy problem for machine learning algorithms. The social and physiological factors can take effect on market data and result in significant uncertainty in data. This study demonstrates an implementation of tree-based genetic programming (GP) to develop a mathematical model of stock market from the daily stock data of other stock markets to observe relations between global market trends and to consider this effect in market prediction problems. To obtain a prediction model of Istanbul Stock Exchange 100 Index (ISE100), numerical data from ISE100 and seven other international stock market indices are used to produce GP models that can estimate daily price changes in ISE100 according to daily change in other international stock market indices. To reduce negative effects of the data uncertainty on the GP modelling, ensemble average GP modelling performances are investigated and the results are reported for future research direction suggestions.",

}

Genetic Programming entries for Davut Ari Baris Baykant Alagoz

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