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Quantification of survey expectations by means of symbolic regression via genetic programming to estimate economic growth in Central and Eastern European economies
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Eastern European economics 54 (2016) 2, pp. 171-189
Persistent link: https://www.econbiz.de/10011507863
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Evolutionary computation for macroeconomic forecasting
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Computational economics 53 (2019) 2, pp. 833-849
Persistent link: https://www.econbiz.de/10012134879
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Time Series Forecasting With a Learning Algorithm : An Approximate Dynamic Programming Approach
Collado, Ricardo - 2019
We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic … decision process. By recursively applying this idea over a range of future time periods, look-ahead dynamic programming methods … techniques give rise to models calibrated to historical data which at any point in time would be optimally positioned to react to …
Persistent link: https://www.econbiz.de/10012894079
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Assessing multivariate predictors of financial market movements : a latent factor framework for ordinal data
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - 2008
Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...
Persistent link: https://www.econbiz.de/10003966616
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Lasso-type and heuristic strategies in model selection and forecasting
Savin, Ivan; Winker, Peter - 2012
Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
Persistent link: https://www.econbiz.de/10009630302
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On Models for Portfolio Selection with Short-Term Forecasting
Dokuchaev, Nikolai - 2013
We discuss the problems of strategy selection in the framework of mathematical finance, stochastic control, and risk management in finance and economics. A problem setting that takes in to account a possibility of short term forecasting for market parameters is suggested. In this setting,...
Persistent link: https://www.econbiz.de/10013090290
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Optimal Selection of Expert Forecasts with Integer Programming
Matsypura, Dmytro - 2017
Combinations of point forecasts from expert forecasters are known to frequently outperform individual forecasts. It is also well documented that combination by simple averaging very often has performance superior to that of more sophisticated combinations. This empirical fact is referred to as...
Persistent link: https://www.econbiz.de/10012966346
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SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...
Persistent link: https://www.econbiz.de/10009755511
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An efficient application of the extended path algorithm in Matlab with examples
Binning, Andrew - 2022
Recent experience with interest rates hitting the effective lower bound and agents facing binding borrowing constraints has emphasised the importance of understanding the behaviour of an economy in which some variables may be restricted at times. The extended path algorithm is a commonly used...
Persistent link: https://www.econbiz.de/10013365558
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Using survey data to forecast real activity with evolutionary algorithms : a cross-country analysis
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Journal of applied economics 20 (2017) 2, pp. 329-349
Persistent link: https://www.econbiz.de/10011950622