Predicting EU energy industry excess returns on EU market index via a constrained genetic algorithm

DOI10.1007/s10614-009-9176-4zbMath1187.91230OpenAlexW2081611188MaRDI QIDQ1038771

Massimiliano Kaucic

Publication date: 20 November 2009

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9176-4

zbMATH Keywords

model selectiongenetic algorithmpenalty function methodinformation criteriaexcess return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Learning and adaptive systems in artificial intelligence (68T05) Approximation methods and heuristics in mathematical programming (90C59)

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Uses Software

• Microfit

Cites Work

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• Genetic programming prediction of stock prices

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