A Preliminary Investigation of Overfitting in Evolutionary Driven Model Induction: Implications for Financial Modelling

Abstract

This paper investigates the effects of early stopping as a method to counteract overfitting in evolutionary data modelling using Genetic Programming. Early stopping has been proposed as a method to avoid model overtraining, which has been shown to lead to a significant degradation of out-of-sample performance. If we assume some sort of performance metric… (More)
DOI: 10.1007/978-3-642-20520-0_13

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