ABSTRACT

CONTENTS 14.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257 14.2 The Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 258 14.3 Financial Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259 14.4 Weather Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259 14.5 Processing of Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260 14.6 The Group Method of Data Handling (GMDH) . . . . . . . . . . . . . . . . . . . . . . . . . . 261 14.7 Genetic Programming (GP) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 262 14.8 GP-GMDH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263 14.9 Results and Discussion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264 14.10 Conclusion and Further Work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267

References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 268

In this paper we show how the performance of the basic algorithm of the Group Method of Data Handling (GMDH) can be improved using Genetic Programming (GP). The new improved GMDH (GP-GMDH) is then used to predict two currency exchange rates: the US Dollar to the Euro and the US Dollar to the French Franc. It is also used to predict the mean monthly maximum temperatures in Queen Alia International Airport. The performance of the GP-GMDH is compared with that of the conventional GMDH. Two performance measures, the root mean squared error and the mean absolute percentage error, show that the GP-GMDH algorithm appears to perform better than the conventional GMDH algorithm.