An empirical case against the use of genetic-based learning classifier systems as forecasting devices
AbstractWe adapt a genetic-based learning classifier system to a forecast evaluation exercise by making its key parameters endogenous and taking into account the need of convergence of the learning algorithm, an issue usually neglected in the literature. Doing so, we find it hard for the algorithm to beat simpler ones based on recursive regressions and on the random walk in forecasting stock returns. We then argue that our results cast doubts on the plausibility of using learning classifier systems to represent agents process of expectations formation, an approach commonly found into the agent-based computational finance literature.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 1 ()
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genetic-based learning classifier systems; genetic algorithms; stock returns forecasting;
Find related papers by JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- G1 - Financial Economics - - General Financial Markets
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