A new modular genetic programming for finding attractive technical patterns in stock markets

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@InProceedings{Lee:2010:gecco,
  author =       "Seung-Kyu Lee and Byung-Ro Moon",
  title =        "A new modular genetic programming for finding
                 attractive technical patterns in stock markets",
  booktitle =    "GECCO '10: Proceedings of the 12th annual conference
                 on Genetic and evolutionary computation",
  year =         "2010",
  editor =       "Juergen Branke and Martin Pelikan and Enrique Alba and 
                 Dirk V. Arnold and Josh Bongard and 
                 Anthony Brabazon and Juergen Branke and Martin V. Butz and 
                 Jeff Clune and Myra Cohen and Kalyanmoy Deb and 
                 Andries P Engelbrecht and Natalio Krasnogor and 
                 Julian F. Miller and Michael O'Neill and Kumara Sastry and 
                 Dirk Thierens and Jano {van Hemert} and Leonardo Vanneschi and 
                 Carsten Witt",
  isbn13 =       "978-1-4503-0072-8",
  pages =        "1219--1226",
  keywords =     "genetic algorithms, genetic programming, modular
                 genetic programming, Real world applications",
  month =        "7-11 " # jul,
  organisation = "SIGEVO",
  address =      "Portland, Oregon, USA",
  DOI =          "doi:10.1145/1830483.1830704",
  publisher =    "ACM",
  publisher_address = "New York, NY, USA",
  abstract =     "We propose a new modular genetic programming for
                 finding attractive and statistically sound technical
                 patterns for stock trading. We restrict the problem
                 space to combinations of modules for more effective
                 space search. We carefully prepared the set of modules
                 based on existing studies of technical indicators and
                 our own experience. Our modular genetic programming
                 successfully found unknown attractive technical
                 patterns for the Korean stock market. A trading
                 simulation with the generated patterns by a commercial
                 tool showed significantly higher accumulative returns
                 than the KOSPI index.",
  notes =        "Also known as \cite{1830704} GECCO-2010 A joint
                 meeting of the nineteenth international conference on
                 genetic algorithms (ICGA-2010) and the fifteenth annual
                 genetic programming conference (GP-2010)",
}

Genetic Programming entries for Seung-Kyu Lee Byung-Ro Moon

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