%0 Conference Paper %1 chen:1997:GPmvfts:NS+P %A Chen, Shu-Heng %A Yeh, Chia-Hsuan %B Proceedings of the 4th JAFEE International Conference on Investments and Derivatives (JIC'97) %C Aoyoma Gakuin University, Tokyo, Japan %D 1997 %K algorithms, genetic programming %P 288--306 %T Using Genetic Programming to Model Volatility in Financial Time Series: The Case of Nikkei 225 and S&P 500 %U http://citeseer.ist.psu.edu/322892.html %X In this paper we propose a time-variant and non-parametric approach to estimating volatility. This approach is based on recursive genetic programming (RGP). Here, volatility is estimated by a class of non-parametric models which are generated through a recursive competitive process. The essential feature of this approach is that it can estimate volatility by simultaneously detecting and adapting to structural changes. Thus, volatility is estimated by taking possible structural changes into...

@inproceedings{chen:1997:GPmvfts:NS+P, abstract = {In this paper we propose a time-variant and non-parametric approach to estimating volatility. This approach is based on recursive genetic programming (RGP). Here, volatility is estimated by a class of non-parametric models which are generated through a recursive competitive process. The essential feature of this approach is that it can estimate volatility by simultaneously detecting and adapting to structural changes. Thus, volatility is estimated by taking possible structural changes into...}, added-at = {2008-06-19T17:35:00.000+0200}, address = {Aoyoma Gakuin University, Tokyo, Japan}, author = {Chen, Shu-Heng and Yeh, Chia-Hsuan}, biburl = {https://www.bibsonomy.org/bibtex/2576645adc90a2b6469165d2ae346b081/brazovayeye}, booktitle = {Proceedings of the 4th JAFEE International Conference on Investments and Derivatives (JIC'97)}, interhash = {5d1ec36df6161ee5414af53e5104eafd}, intrahash = {576645adc90a2b6469165d2ae346b081}, keywords = {algorithms, genetic programming}, month = {July 29-31}, pages = {288--306}, size = {16 pages}, timestamp = {2008-06-19T17:37:42.000+0200}, title = {Using Genetic Programming to Model Volatility in Financial Time Series: The Case of Nikkei 225 and {S}\&{P} 500}, url = {http://citeseer.ist.psu.edu/322892.html}, year = 1997 }