MGP-INTACTSKY: Multitree Genetic Programming-based learning of INTerpretable and ACcurate TSK sYstems for dynamic portfolio trading
MGP-INTACTSKY is a fuzzy rule based system for dynamic portfolio trading. Multitree Genetic Programming (MGP) is applied to learn the TSK fuzzy rule bases. The new TSK structure leads to a more interpretable and accurate system. Input variables are technical indices selected by stepwise regression analysis. The results are based on testing of the model on one emerging and two mature markets.
multitree genetic programming dynamic portfolio trading technical indices interpretabilityaccuracy tradeoff tsk fuzzy rule based system