InforLorV4, Main, Merge, bibRecord, 004675

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

Identifieur interne : 004675 ( Main/Merge ); précédent : 004674; suivant : 004676

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

Auteurs : Nicolas Navet [France] ; Shu-Heng Chen [Taïwan]

Source :

RBID : Hal:inria-00192350

English descriptors

mix :
- Entropy estimate, NYSE, financial trading rules, genetic programming, surrogate testing.

Abstract

The entropy rate of a dynamic process measures the uncertainty that remains in the next information produced by the process given complete knowledge of the past. It is thus a natural measure of the difficulty faced in predicting the evolution of the process. The first question investigated here is whether stock price time series exhibit temporal dependencies that can be measured through entropy estimates. Then we study the extent to which the return of GP-induced financial trading rules is correlated with the entropy rates of the price time series. Experiments are conducted on EOD data of the stocks making up the NYSE US 100 index during the period 2000-2006, with genetic programming being use to induce the trading rules.

Url:

https://hal.inria.fr/inria-00192350

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to stream Hal, to step Corpus: 003694
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to stream Hal, to step Checkpoint: 003585

Links to Exploration step

Hal:inria-00192350

Le document en format XML

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   |wiki=    Wicri/Lorraine
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   |clé=     Hal:inria-00192350
   |texte=   On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?
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On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?

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

Source :

English descriptors

Abstract

Links toward previous steps (curation, corpus...)

Links to Exploration step

Le document en format XML

Pour manipuler ce document sous Unix (Dilib)

Pour mettre un lien sur cette page dans le réseau Wicri