Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms

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@Article{Karatahansopoulos:2014:jfor,
  author =       "Andreas Karatahansopoulos and Georgios Sermpinis and 
                 Jason Laws and Christian Dunis",
  title =        "Modelling and Trading the Greek Stock Market with Gene
                 Expression and Genetic Programing Algorithms",
  journal =      "Journal of Forecasting",
  year =         "2014",
  volume =       "33",
  number =       "8",
  ISSN =         "1099-131X",
  URL =          "http://dx.doi.org/10.1002/for.2290",
  DOI =          "doi:10.1002/for.2290",
  pages =        "596--610",
  keywords =     "genetic algorithms, genetic programming, gene
                 expression programming, leverage, quantitative trading
                 strategies, evolutionary algorithms",
  month =        dec,
  abstract =     "This paper presents an application of the gene
                 expression programming (GEP) and integrated genetic
                 programming (GP) algorithms to the modelling of ASE 20
                 Greek index. GEP and GP are robust evolutionary
                 algorithms that evolve computer programs in the form of
                 mathematical expressions, decision trees or logical
                 expressions. The results indicate that GEP and GP
                 produce significant trading performance when applied to
                 ASE 20 and outperform the well-known existing methods.
                 The trading performance of the derived models is
                 further enhanced by applying a leverage filter",
  publisher =    "Wiley",
  ISSN =         "0277-6693",
}

Genetic Programming entries for Andreas Karatahansopoulos Georgios Sermpinis Jason Laws Christian L Dunis

Citations