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Forecasting Smoothed Non-Stationary Time Series Using Genetic Algorithms

Author

Listed:
  • P. NOROUZZADEH

    (Department of Physics, University of Antwerp, Antwerp, Belgium;
    Quantitative Analysis Research Group, Farda Development Foundation, P. O. Box 11365-9161, Tehran, Iran)

  • B. RAHMANI

    (Department of Mathematics, Sharif University of Technology, Tehran, Iran)

  • M. S. NOROUZZADEH

    (Department of Mathematical Sciences and Computer Engineering, Tarbiat Moallem University, Tehran, Iran)

Abstract

We introduce kernel smoothing method to extract the global trend of a time series and remove short time scales variations and fluctuations from it. A multifractal detrended fluctuation analysis (MF-DFA) shows that the multifractality nature of TEPIX returns time series is due to both fatness of the probability density function of returns and long range correlations between them. MF-DFA results help us to understand how genetic algorithm and kernel smoothing methods act. Then we utilize a recently developed genetic algorithm for carrying out successful forecasts of the trend in financial time series and deriving a functional form of Tehran price index (TEPIX) that best approximates the time variability of it. The final model is mainly dominated by a linear relationship with the most recent past value, while contributions from nonlinear terms to the total forecasting performance are rather small.

Suggested Citation

  • P. Norouzzadeh & B. Rahmani & M. S. Norouzzadeh, 2007. "Forecasting Smoothed Non-Stationary Time Series Using Genetic Algorithms," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1071-1086.
    • Handle: RePEc:wsi:ijmpcx:v:18:y:2007:i:06:n:s0129183107011133
    DOI: 10.1142/S0129183107011133
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    Cited by:

    1. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.

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