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Using string invariants for prediction searching for optimal parameters

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  • Bundzel, Marek
  • Kasanický, Tomáš
  • Pinčák, Richard

Abstract

We have developed a novel prediction method based on string invariants. The method does not require learning but a small set of parameters must be set to achieve optimal performance. We have implemented an evolutionary algorithm for the parametric optimization. We have tested the performance of the method on artificial and real world data and compared the performance to statistical methods and to a number of artificial intelligence methods. We have used data and the results of a prediction competition as a benchmark. The results show that the method performs well in single step prediction but the method’s performance for multiple step prediction needs to be improved. The method works well for a wide range of parameters.

Suggested Citation

  • Bundzel, Marek & Kasanický, Tomáš & Pinčák, Richard, 2016. "Using string invariants for prediction searching for optimal parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 680-688.
    • Handle: RePEc:eee:phsmap:v:444:y:2016:i:c:p:680-688
    DOI: 10.1016/j.physa.2015.10.050
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    Cited by:

    1. Kanjamapornkul, K. & Pinčák, Richard & Bartoš, Erik, 2016. "The study of Thai stock market across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 117-133.
    2. Bartoš, Erik & Pinčák, Richard, 2017. "Identification of market trends with string and D2-brane maps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 57-70.

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