Genetic Feature Selection Applied to KOSPI and Cryptocurrency Price Prediction

【Author】 Cho, Dong-Hee; Moon, Seung-Hyun; Kim, Yong-Hyuk

【Source】MATHEMATICS

【影响因子】2.592

【Abstract】Feature selection reduces the dimension of input variables by eliminating irrelevant features. We propose feature selection techniques based on a genetic algorithm, which is a metaheuristic inspired by a natural selection process. We compare two types of feature selection for predicting a stock market index and cryptocurrency price. The first method is a newly devised genetic filter involving a fitness function designed to increase the relevance between the target and the selected features and decrease the redundancy between the selected features. The second method is a genetic wrapper, whereby we can find the better feature subsets related to KOPSI by exploring the solution space more thoroughly. Both genetic feature selection methods improved the predictive performance of various regression functions. Our best model was applied to predict the KOSPI, cryptocurrency price, and their respective trends after COVID-19.

【Keywords】genetic algorithm; feature selection; stock prediction; cryptocurrency price prediction

【发表时间】2021 OCT

【收录时间】2022-01-01

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