Tinkering with Genetic Algorithms: Forecasting and Data Mining in Finance and Economics

  • George G. Szpiro
Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ, volume 100)


In two previous papers [13,14] genetic algorithms were presented that permit the search for dependencies among sets of data (univariate or multivariate time-series, or cross-sectional observations) . These algorithms — modeled after genetic theories and Darwinian concepts, such as natural selection and survival of the fittest — permit the discovery of equations, in symbolic form, that re-create or, at least, mimic the data-generating process. This paper discusses some of the computational issues and difficulties that may arise when the genetic algorithm is applied, and suggests ways to improve the algorithm’s performance.


Genetic Algorithm Hide Relationship Artificial Series Darwinian Concept Correct Functional Form 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    Allen F., Karjalainen R. (1993) Using Genetic Algorithms to Find Technical Trading Rules. Working paper. Rodney L. White Center for Financial Research, The Wharton School of the University of PennsylvaniaGoogle Scholar
  2. 2.
    Arifovic J. (1995) Genetic Algorithms and Inflationary Economies. Journal of Monetary Economics 36, 219–243CrossRefGoogle Scholar
  3. 3.
    Arthur W. B. (1991) Designing Economic Agents That Act Like Human Agents: A Behavioral Approach to Bounded Rationality. American Economic Review: Papers and Proceedings, 353–360Google Scholar
  4. 4.
    Azoff E. M. (1994) Neural Networks Time Series Forecasting of Financial Markets. John Wiley, New YorkGoogle Scholar
  5. 5.
    Goldberg D. E. (1989) Genetic Algorithms in Search, Optimization and Machine Learning. Addison-Wesley, Reading, MAzbMATHGoogle Scholar
  6. 6.
    Hénon M. (1976) A Two-dimensional Mapping with a Strange Attractor. Comm. Math. Phys. 50, 69–77MathSciNetzbMATHCrossRefGoogle Scholar
  7. 7.
    Holland J. H. (1975) Adaptation in Natural and Artificial Systems. University of Michigan Press, Ann Arbor. 2nd edition 1992, MIT PressGoogle Scholar
  8. 8.
    Koza J. R. (1992) Genetic programming. MIT Press, CambridgezbMATHGoogle Scholar
  9. 9.
    Marks R. E. (1992) Breeding Optimal Strategies: Optimal Behavior for Oligopolies. Journal of Evolutionary Economics 2, 17–38CrossRefGoogle Scholar
  10. 10.
    Palmer R. G., Arthur W. B., Holland J. H., LeBaron B., Taylor P. (1994) Artificial Economic Life: A Simple Model of a Stockmarket. Physica D 75, 264zbMATHCrossRefGoogle Scholar
  11. 11.
    Peitgen Heinz-Otto, Hartmut Jiirgens, Dietmal Saupe (1992) Chaos and Fractals, New Frontiers of Science, Springer, HeidelbergGoogle Scholar
  12. 12.
    Rosler O. E. (1976) . An Equation for Continuous Chaos. Physics Letters A 57, 397–398CrossRefGoogle Scholar
  13. 13.
    Szpiro G. G. (1997a) Forecasting Chaotic Time Series with Genetic Algorithms. Physical Review E, 2557–2568.Google Scholar
  14. 14.
    Szpiro G. G. (1997b) A Search for Hidden Relationships: Data Mining with Genetic Algorithms. Computational Economics 10 (3), 267–277zbMATHCrossRefGoogle Scholar
  15. 15.
    Szpiro G. G. (1997c) The Emergence of Risk Aversion. Complexity 2(4), 31–39.MathSciNetCrossRefGoogle Scholar
  16. 16.
    Szpiro G. G. (1999) Can Computers Have Sentiments? The Case of Risk aversion and Utility for Wealth. In: Floreano D., Nicoud J-D, Mondada F. (Eds.) Advances in Artificial Life. Lecture Notes in Artificial Intelligence, Vol 1674, Springer, Heidelberg, 365–376CrossRefGoogle Scholar
  17. 17.
    Weigend, A. (1996) Personal Communication. as quoted in the Neue Zürcher Zeitung (October 1996)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • George G. Szpiro
    • 1
  1. 1.Israeli Center for Academic StudiesUniversity of ManchesterKiriat OnoIsrael

Personalised recommendations