Abstract
In this paper an approach based on genetic programming for forecasting stochastic time series is outlined. To obtain a suitable test-bed some well-known time series are dressed with noise. The GP approach is endowed with a multiobjective scheme relying on statistical properties of the faced series, i.e., on their momenta. Finally, the method is applied to the MIB30 Index series.
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More From: Physica A: Statistical Mechanics and its Applications
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