Forecasting Financial Volatility Using Nested Monte Carlo Expression Discovery

We are interested in discovering expressions for financial prediction using Nested Monte Carlo Search and Genetic Programming. Both methods are applied to learn from financial time series to generate non linear functions for market volatility prediction. The input data, that is a series of daily prices of European S&P500 index, is filtered and sampled in order to improve the training process. Using some assessment metrics, the best generated models given by both approaches for each training sub sample, are evaluated and compared. Results show that Nested Monte Carlo is able to generate better forecasting models than Genetic Programming for the majority of learning samples.