On the Connection between the GEP Performances and the Time Series Properties

Alina Bărbulescu and Cristian Ștefan Dumitriu
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Alina Bărbulescu: Department of Civil Engineering, Faculty of Civil Engineering, Transilvania University of Brașov, 5, Turnului Street, 900152 Brașov, Romania
Cristian Ștefan Dumitriu: Technical Office of Design, Technologies, Research, SC Utilnavorep SA, 55, Aurel Valicu Av., 900055 Constanța, Romania

Mathematics, 2021, vol. 9, issue 16, 1-19

Abstract: Artificial intelligence (AI) methods are interesting alternatives to classical approaches for modeling financial time series since they relax the assumptions imposed on the data generating process by the parametric models and do not impose any constraint on the model’s functional form. Even if many studies employed these techniques for modeling financial time series, the connection of the models’ performances with the statistical characteristics of the data series has not yet been investigated. Therefore, this research aims to study the performances of Gene Expression Programming (GEP) for modeling monthly and weekly financial series that present trend and/or seasonality and after the removal of each component. It is shown that series normality and homoskedasticity do not influence the models’ quality. The trend removal increases the models’ performance, whereas the seasonality elimination results in diminishing the goodness of fit. Comparisons with ARIMA models built are also provided.

Keywords: BET; GEP; statistical analysis; modeling (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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