Evolving Gene Expression Programming Classifiers for Ensemble Prediction of Movements on the Stock Market

Forecasting applications on the stock market attract much interest from researchers in the artificial intelligence field. The problem tackled in this study concerns predicting the direction of change of stock price indices, formulated in terms of binary classification. We use gene expression programming to evolve pools of binary classifiers and investigate several approaches to construct ensembles based on them. We compare the performance of the obtained classifiers with those of Naive Bayes, Support Vector Machines, Multilayer Perceptron, Decision Table and Random Forrest. The experiments performed on real-world stock market data show that the ensembles of GEP-evolved classifier models are competitive to classifiers trained by state-of-the-art machine learning methods.