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European Conference on the Applications of Evolutionary Computation

EvoApplications 2011: Applications of Evolutionary Computation pp 111–119Cite as

Learning and Predicting Financial Time Series by Combining Natural Computation and Agent Simulation

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 6625))

Abstract

We investigate how, by combining natural computation and agent based simulation, it is possible to model financial time series. The agent based simulation can be used to functionally reproduce the structure of a financial market while the natural computation technique finds the most suitable parameter for the simulator. Our experimentation on the DJIA time series shows the effectiveness of this approach in modeling financial data. Also we compare the predictions made by our system to those obtained by other approaches.

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Author information

Authors and Affiliations

  1. Dept. of Computer and System Science, University of Naples, via Claudio 21, 80125, Naples, Italy

    Filippo Neri

Authors
  1. Filippo Neri
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Editor information

Editors and Affiliations

  1. Department of Mathematics and Statistics, University of Strathclyde, 16 Richmond Street, G1 1XQ, Glasgow, UK

    Cecilia Di Chio

  2. School of Business, University College Dublin, 4, Belfield, Dublin, UK

    Anthony Brabazon

  3. Istituto Dalle Molle di Studi sull’Intelligenza Artificiale (IDSIA), Galleria 2, 6928, Manno-Lugano, Switzerland

    Gianni A. Di Caro

  4. Institute of Computer Science, University of Bremen, 28359, Bremen, Germany

    Rolf Drechsler

  5. Next Generation Intelligent Networks Research Center (nexGIN RC), National University of Computer & Emerging Sciences (FAST-NU), Islamabad, Pakistan

    Muddassar Farooq

  6. Department of Information Systems, Johannes Gutenberg-Universität, 55099, Mainz, Germany

    Jörn Grahl

  7. Mathematics and Computer Science Depatment, University of Richmond, 23173, Richmond, VA, USA

    Gary Greenfield

  8. ICD - OSI, University of Technology of Troyes, 12, Rue Marie Curie, BP 2060, 10010, Troyes, France

    Christian Prins

  9. Facultad de Informatica, Universidade de A Coruña, 15071, Coruña, CP, Spain

    Juan Romero

  10. Dipartimento di Automatica e Informatica, Politecnico di Torino, Italy

    Giovanni Squillero

  11. Consiglio Nazionale delle Ricerche (CNR), Istituto di Calcolo e Reti ad Alte Prestazioni (ICAR), Via P. Castellino 111, 80131, Naples, Italy

    Ernesto Tarantino

  12. Dipartimento di Tecnologie dell’Informazione, Università degli Studi di Milano, Via Bramante 65, 26013, Crema (CR), Italy

    Andrea G. B. Tettamanzi

  13. School of Computing, Edinburgh Napier University, 10 Clinton Road, EH10 5DT, Edinburgh, UK

    Neil Urquhart

  14. Computer Engineering Department, Istanbul Technical University, Room Nr. 3302, Maslak, 34469, Istanbul, Turkey

    A. Şima Uyar

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© 2011 Springer-Verlag Berlin Heidelberg

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Neri, F. (2011). Learning and Predicting Financial Time Series by Combining Natural Computation and Agent Simulation. In: Di Chio, C., et al. Applications of Evolutionary Computation. EvoApplications 2011. Lecture Notes in Computer Science, vol 6625. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20520-0_12

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  • DOI: https://doi.org/10.1007/978-3-642-20520-0_12

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-20519-4

  • Online ISBN: 978-3-642-20520-0

  • eBook Packages: Computer ScienceComputer Science (R0)

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