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

Nicolas Navet 1 Shu-Heng Chen 2
1 TRIO - Real time and interoperability
INRIA Lorraine, LORIA - Laboratoire Lorrain de Recherche en Informatique et ses Applications
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.
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Chapitre d'ouvrage
T. Brabazon and M. O'Neill. Natural Computing in Computational Finance, 100, Springer, 2008, Studies in Computational Intelligence, 978-3-540-77476-1
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Dernière modification le : jeudi 11 janvier 2018 - 06:20:05
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Nicolas Navet, Shu-Heng Chen. On Predictability and Profitability: Would GP Induced Trading Rules be Sensitive to the Observed Entropy of Time Series?. T. Brabazon and M. O'Neill. Natural Computing in Computational Finance, 100, Springer, 2008, Studies in Computational Intelligence, 978-3-540-77476-1. 〈inria-00192350〉

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