Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm
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DOI: 10.1007/s10614-009-9176-4
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- Ivan Savin & Peter Winker, 2010. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance," Working Papers 027, COMISEF.
- Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
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More about this item
Keywords
Genetic algorithm; Penalty function method; Model selection; Excess return; Information criteria; C32; C52; C53; C61; C63;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
Statistics
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