An empirical study of Genetic Programming generated trading rules in computerized stock trading service system

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{Mallick:2008:ICSSSM,
  author =       "Devayan Mallick and Vincent C. S. Lee and 
                 Yew Soon Ong",
  title =        "An empirical study of Genetic Programming generated
                 trading rules in computerized stock trading service
                 system",
  booktitle =    "International Conference on Service Systems and
                 Service Management",
  year =         "2008",
  month =        "30 " # jun # " 2008-2 " # jul # " 2008",
  pages =        "1--6",
  keywords =     "genetic algorithms, genetic programming, computerized
                 stock trading service system, financial market, genetic
                 programming based trading rules, statistical analysis,
                 stock market, electronic trading, statistical analysis,
                 stock markets",
  address =      "Melbourne, Australia",
  isbn13 =       "978-1-4244-1671-4",
  DOI =          "doi:10.1109/ICSSSM.2008.4598507",
  abstract =     "Technical analysis is aimed at devising trading rules
                 capable of exploiting short-term fluctuations on the
                 financial markets. The application of genetic
                 programming (GP) as a means to automatically generate
                 such trading rules on the stock markets has been
                 studied. Computational results, based on historical
                 pricing and transaction volume data, are reported for
                 the thirty component stocks of the Dow Jones Industrial
                 Average index. Statistical evidence shows that for the
                 stocks that were studied, the use of GP based trading
                 rules ensures a positive dollar return in all market
                 scenarios. The performance of the GP based trading
                 rules was also evaluated against the performance of the
                 popularly used MACD technical indicator. In general, GP
                 based trading rules offer greater returns over the
                 simple buy and hold approach than the MACD trading
                 signal.",
  notes =        "Also known as \cite{4598507}",
}

Genetic Programming entries for Devayan Mallick Vincent Cheng-Siong Lee Yew-Soon Ong

Citations