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A Hitchhiker's guide to the techniques of adaptive nonlinear models

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  • Shapiro, Arnold F.

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  • Shapiro, Arnold F., 2000. "A Hitchhiker's guide to the techniques of adaptive nonlinear models," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 119-132, May.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:2-3:p:119-132
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    1. William J. Baumol & Richard E. Quandt, 1985. "Chaos Models and Their Implications for Forecasting," Eastern Economic Journal, Eastern Economic Association, vol. 11(1), pages 3-15, Jan-Mar.
    2. Mandelbrot, Benoit B, 1972. "Correction of an Error in "The Variation of Certain Speculative Prices" (1963)," The Journal of Business, University of Chicago Press, vol. 45(4), pages 542-543, October.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    4. Richard Day, 1997. "Complex Dynamics, Market Mediation and Stock Price Behavior," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(3), pages 1-16.
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    Cited by:

    1. Shapiro, Arnold F. & Paul Gorman, R., 2000. "Implementing adaptive nonlinear models," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 289-307, May.
    2. Christian L Dunis & Spiros D Likothanassis & Andreas S Karathanasopoulos & Georgios S Sermpinis & Konstantinos A Theofilatos, 2013. "A hybrid genetic algorithm–support vector machine approach in the task of forecasting and trading," Journal of Asset Management, Palgrave Macmillan, vol. 14(1), pages 52-71, February.
    3. Andreas Karathanasopoulos, 2017. "Modelling and trading the London, New York and Frankfurt stock exchanges with a new gene expression programming trader tool," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 24(1), pages 3-11, January.
    4. Georgios Sermpinis & Andreas Karathanasopoulos & Rafael Rosillo & David Fuente, 2021. "Neural networks in financial trading," Annals of Operations Research, Springer, vol. 297(1), pages 293-308, February.
    5. Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Georgios Sermpinis & Charalampos Stasinakis & Konstantinos Theofilatos & Andreas Karathanasopoul, 2014. "Inflation and Unemployment Forecasting with Genetic Support Vector Regression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(6), pages 471-487, September.
    6. Andreas Karatahansopoulos & Georgios Sermpinis & Jason Laws & Christian Dunis, 2014. "Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(8), pages 596-610, December.
    7. Andreas Lindemann & Christian Dunis & Paulo Lisboa, 2005. "Probability distributions and leveraged trading strategies: an application of Gaussian mixture models to the Morgan Stanley Technology Index Tracking Fund," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 459-474.
    8. Sancho Salcedo-Sanz & L. Carro-Calvo & Mercè Claramunt & Anna Castañer & Maite Marmol, 2013. "An Analysis of Black-box Optimization Problems in Reinsurance: Evolutionary-based Approaches," Working Papers XREAP2013-04, Xarxa de Referència en Economia Aplicada (XREAP), revised May 2013.
    9. Mingzhe Wei & Georgios Sermpinis & Charalampos Stasinakis, 2023. "Forecasting and trading Bitcoin with machine learning techniques and a hybrid volatility/sentiment leverage," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 852-871, July.
    10. Charalampos Stasinakis & Georgios Sermpinis & Konstantinos Theofilatos & Andreas Karathanasopoulos, 2016. "Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions," Computational Economics, Springer;Society for Computational Economics, vol. 47(4), pages 569-587, April.
    11. Hassanniakalager, Arman & Sermpinis, Georgios & Stasinakis, Charalampos, 2021. "Trading the foreign exchange market with technical analysis and Bayesian Statistics," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 230-251.
    12. Shapiro, Arnold F., 2002. "The merging of neural networks, fuzzy logic, and genetic algorithms," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 115-131, August.
    13. Sermpinis, Georgios & Theofilatos, Konstantinos & Karathanasopoulos, Andreas & Georgopoulos, Efstratios F. & Dunis, Christian, 2013. "Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and Particle Swarm Optimization," European Journal of Operational Research, Elsevier, vol. 225(3), pages 528-540.
    14. Sermpinis, Georgios & Stasinakis, Charalampos & Theofilatos, Konstantinos & Karathanasopoulos, Andreas, 2015. "Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms—Support vector regression forecast combinations," European Journal of Operational Research, Elsevier, vol. 247(3), pages 831-846.
    15. Sermpinis, Georgios & Stasinakis, Charalampos & Hassanniakalager, Arman, 2017. "Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds," European Journal of Operational Research, Elsevier, vol. 263(2), pages 540-558.
    16. Psaradellis, Ioannis & Sermpinis, Georgios, 2016. "Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1268-1283.
    17. Filipa Fernandes & Charalampos Stasinakis & Zivile Zekaite, 2019. "Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery," Annals of Operations Research, Springer, vol. 282(1), pages 87-118, November.
    18. Sermpinis, Georgios & Stasinakis, Charalampos & Rosillo, Rafael & de la Fuente, David, 2017. "European Exchange Trading Funds Trading with Locally Weighted Support Vector Regression," European Journal of Operational Research, Elsevier, vol. 258(1), pages 372-384.
    19. Sermpinis, Georgios & Stasinakis, Charalampos & Dunis, Christian, 2014. "Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 21-54.
    20. Christian Dunis & Jason Laws & Georgios Sermpinis, 2010. "Higher order and recurrent neural architectures for trading the EUR/USD exchange rate," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 615-629.

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