Forecasting stock market return with nonlinearity: a genetic programming approach

QR Code

Forecasting stock market return with nonlinearity: a genetic programming approach

The issue whether return in the stock market is predictable remains ambiguous. This paper attempts to establish new return forecasting models in order to contribute on addressing this issue. In contrast to existing literatures, we first reveal that the model forecasting accuracy can be improved thro...

Full description

Bibliographic Details
Main Authors:	Ding, Shusheng, Cui, Tianxiang, Xiong, Xihan, Bai, Ruibin
Format:	Article
Language:	English
Published:	Springer 2020
Subjects:	Return forecasting; Nonlinear models; Genetic programming
Online Access:	https://eprints.nottingham.ac.uk/60489/

Similar Items

Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?
by: Burns, Kelly, et al.
Published: (2015)

PRICE AND RETURN MODELS--IMPERICAL TESTS OF CHINESE STOCK MARKET
by: Ye, Chongchong
Published: (2008)

The Short-term Impact of Macroeconomic Changes on Stock Return: Study on Chinese Stock Market
by: Li, Hao
Published: (2015)

An exact penalty function method for nonlinear mixed discrete programming problems
by: Changjun, Y., et al.
Published: (2013)

Performance of GARCH models in forecasting stock market volatility.
by: Choo, Wei Chong, et al.
Published: (1999)

Optimized forecasting through linear programming
by: KASOTAKIS, IOANNIS
Published: (2007)

Threshold effects in nonlinear models with an application to the social capital-retirement-health relationship
by: Gannon, B., et al.
Published: (2014)

Reducing overfitting in manufacturing process modeling using a backward elimination based genetic programming
by: Chan, Kit Yan, et al.
Published: (2010)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

A hybrid combinatorial approach to a two-stage stochastic portfolio optimization model with uncertain asset prices
by: Cui, Tianxiang, et al.
Published: (2020)

A New Computational Method for Optimizing Nonlinear Impulsive Systems
by: Lin, Qun, et al.
Published: (2011)

Nonlinear multigrid methods for second order differential operators with nonlinear diffusion coefficient
by: Brabazon, Keeran J., et al.
Published: (2014)

Genetic programming for modelling of geotechnical engineering systems
by: Shahin, Mohamed
Published: (2015)

Swings in sentiment and stock returns: Evidence from a frontier market
by: Rahman, M., et al.
Published: (2013)

Vibration energy transmission in coupled systems with local nonlinearities
by: Shi, Baiyang
Published: (2020)

Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates
by: Sadique, Shibley
Published: (2011)

Nonlinear Bayesian Filtering Using the Unscented Linear Fractional Transformation Model
by: Pasha, S., et al.
Published: (2010)

The impacts of the financial performance indicators on the stock returns in the Chinese Stock Market
by: Cheng, Zixuan
Published: (2020)

Modelling possibility of short-term forecasting of market parameters for portfolio selection
by: Dokuchaev, Nikolai
Published: (2015)

A genetic programming based fuzzy regression approach to modelling manufacturing processes
by: Chan, Kit Yan, et al.
Published: (2010)

Z-scan technique with high repetition rate femtosecond laser for nonlinear optical properties measurement
by: Zainal Abidin, Mohd Shahnan
Published: (2014)

Approximate Solution of the System of Nonlinear Integral Equations
by: Hazaimeh, Oday Shafiq
Published: (2010)

Improved hybrid methods in solving single variable nonlinear algebraic equations / Nor Hanim Abd Rahman
by: Abd Rahman, Nor Hanim
Published: (2017)

Optimal Control of Nonlinear Switched Systems: Computational Methods and Applications
by: Lin, Qun, et al.
Published: (2013)

Macroeconomic Variables on Indonesia Stock Market Return: Quantile Regression Approach
by: Lavi, Evan Wiranata
Published: (2017)

A New Computational Method for a Class of Free Terminal Time Optimal Control Problems
by: Qun, Lin, et al.
Published: (2011)

Relationship between Interest Rate Movements and Common Stock Returns
by: Chen, Jun
Published: (2006)

How accurate are professional forecasts in Asia? Evidence from ten countries
by: Chen, Qiwei, et al.
Published: (2016)

Penilaian tingkah laku taklinear menggunakan kaedah empirik / Norazan Mohamed Ramli and Habshah Midi
by: Mohamed Ramli, Norazan, et al.
Published: (2001)

Tourism demand forecasting: opportunities and new approaches
by: Wen, Long
Published: (2019)

Nlfxlms and thf-nlfxlms algorithms for wiener-hammerstein nonlinear active noise control
by: Srazhidinov, Radik
Published: (2016)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

The financial ratio usage towards predicting stock returns in Malaysia
by: Jais, Mohamad, et al.
Published: (2012)

Automating the packing heuristic design process with genetic programming
by: Burke, Edmund K., et al.
Published: (2012)

Nonlinear auto-regressive model structure selection using binary particle swarm optimization algorithm / Ahmad Ihsan Mohd Yassin
by: Mohd Yassin, Ahmad Ihsan
Published: (2014)

The unbeatable random walk in exchange rate forecasting: Reality or myth?
by: Moosa, I., et al.
Published: (2014)

An optimized test case generation technique for enhancing state-sensitivity partitioning
by: Sultan, Ammar Mohammed Dawood
Published: (2017)

Rationality of Analysts' Earnings Forecasts: UK Evidence
by: Pan, Yixuan
Published: (2008)

Optimizing tree planting areas through integer programming and improved genetic algorithm
by: Md Badarudin, Ismadi
Published: (2012)

Boundary control of coupled nonlinear three dimensional marine risers
by: Nguyen, T., et al.
Published: (2013)