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Statistical Properties of a Time-Series-Complexity Measure Applied to Stock Returns

โœ Scribed by M.A. Kaboudan


Book ID
110265656
Publisher
Springer US
Year
1998
Tongue
English
Weight
292 KB
Volume
11
Category
Article
ISSN
1572-9974

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A measure of time series' predictability
โœ M. A. Kaboudan ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 137 KB ๐Ÿ‘ 2 views

Based on the standard genetic programming (GP) paradigm, we introduce a new probability measure of time series' predictability. It is computed as a ratio of two ยฎtness values (SSE) from GP runs. One value belongs to a subject series, while the other belongs to the same series after it is randomly sh