Modeling, forecasting and trading the EUR exchange rates with hybrid rolling genetic algorithms—Support vector regression forecast combinations

•We introduce a hybrid Rolling Genetic Algorithm-Support Vector Regression (RG-SVR) model.•In the RG-SVR, a GA is applied for optimal parameter selection and feature subset combination.•We introduce a GA fitness function for financial forecasting purposes.•The RG-SVR model is benchmarked against GA-...

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Bibliographic Details
Published in:	European journal of operational research Vol. 247; no. 3; pp. 831 - 846
Main Authors:	Sermpinis, Georgios, Stasinakis, Charalampos, Theofilatos, Konstantinos, Karathanasopoulos, Andreas
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 16.12.2015 Elsevier Sequoia S.A
Subjects:	Currency transactions Decision making models Exchange rates Feature subset Forecast combinations Forecasting techniques Foreign exchange rates Genetic algorithms Regression analysis Studies Support vector regression Exchange rates Support vector regression Forecast combinations Feature subset Genetic algorithms
ISSN:	0377-2217, 1872-6860
Online Access:	Get full text
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