Macro-Economic Time-Series Forecasting Using Linear Genetic Programming

Recent studies in financial economics suggest that good technical analysis may have a merit in data series prediction. Linear Genetic Programming (LGP) is a genetic programming variant that evolves sequences of instructions from an imperative programming language. This paper presents a LGP approach to search times series forecasting rules. Results for three Paraguayan macro-economic time series (Consumer Price Index, Gross Internal Product & Paraguayan import from Argentina) and one artificial time series indicate that these prediction rules may be more accurate to forecast future values than some standard statistical models in use.

[1]  Wolfgang Banzhaf,et al.  Linear Genetic Programming (Genetic and Evolutionary Computation) , 2006 .

[2]  Siddhartha Bhattacharyya,et al.  Knowledge-intensive genetic discovery in foreign exchange markets , 2002, IEEE Trans. Evol. Comput..

[3]  Zbigniew Michalewicz,et al.  Time Series Forecasting for Dynamic Environments: The DyFor Genetic Program Model , 2007, IEEE Transactions on Evolutionary Computation.

[4]  Herbert Moskowitz Sorondo,et al.  Investigación de operaciones , 1987 .

[5]  Wolfgang Banzhaf,et al.  Genetic Programming: An Introduction , 1997 .

[6]  Wayne L. Winston.  Investigacion de Operaciones: Aplicaciones y Algoritmos , 2006 .

[7]  Andrea Tettamanzi,et al.  Genetic Programming for Financial Time Series Prediction , 2001, EuroGP.

[8]  Wolfgang Banzhaf,et al.  A comparison of linear genetic programming and neural networks in medical data mining , 2001, IEEE Trans. Evol. Comput..

[9]  Oliver Masutti,et al.  Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting , 2001 .

[10]  Peter Nordin,et al.  Genetic programming - An Introduction: On the Automatic Evolution of Computer Programs and Its Applications , 1998 .

[11]  Franklin Allen,et al.  Using genetic algorithms to find technical trading rules , 1999 .

[12]  B. LeBaron,et al.  Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .

[13]  Jeffrey M. Wooldridge,et al.  Introductory Econometrics: A Modern Approach , 1999 .

[14]  John R. Koza,et al.  Genetic programming - on the programming of computers by means of natural selection , 1993, Complex adaptive systems.