A Comparative Study of Heuristic Conversion Algorithms, Genetic Programming and Return Predictability on the German Market

Created by W.Langdon from gp-bibliography.bib Revision:1.3949

@InCollection{Mohr:2013:evolve,
  author =       "Esther Mohr and Guenter Schmidt and Sebastian Jansen",
  title =        "A Comparative Study of Heuristic Conversion
                 Algorithms, Genetic Programming and Return
                 Predictability on the German Market",
  booktitle =    "EVOLVE A Bridge between Probability, Set Oriented
                 Numerics and Evolutionary Computation",
  publisher =    "Springer",
  year =         "2013",
  editor =       "Emilia Tantar and Alexandru-Adrian Tantar and 
                 Pascal Bouvry and Pierre {Del Moral} and Pierrick Legrand and 
                 Carlos A. {Coello Coello} and Oliver Schuetze",
  volume =       "447",
  series =       "Studies in Computational Intelligence",
  chapter =      "12",
  pages =        "393--414",
  keywords =     "genetic algorithms, genetic programming, symbolic
                 regression",
  isbn13 =       "978-3-642-32725-4",
  DOI =          "doi:10.1007/978-3-642-32726-1_12",
  abstract =     "This paper evaluates the predictability of the
                 heuristic conversion algorithms Moving Average
                 Crossover and Trading Range Breakout in the German
                 stock market. Hypothesis testing and a bootstrap
                 procedure are used to test for predictive ability.
                 Results show that the algorithms considered do not have
                 predictive ability. Further, Genetic Programming is
                 used to adapt the buying and selling rules of the
                 investigated algorithms resulting in a new algorithm.
                 Results show that a genetic programming approach does
                 not lead to good new algorithms. We extend former works
                 by using the Sortino Ratio as a measure of risk, and by
                 applying competitive analysis.",
  notes =        "Research papers that were presented at the
                 international workshop EVOLVE 2011. EVOLVE 2011 was
                 jointly organized by the University of Luxembourg,
                 CINVESTAV, Mexico (Research and Advanced Studies Center
                 of the National Polytechnic Institute of Mexico) and
                 INRIA, France.

                 1. Saarland University, P.O. Box 151150, D-66041,
                 Saarbruecken, Germany 2. Banking and Financial
                 Services, University of Hohenheim, D-70593, Stuttgart,
                 Germany

                 doi:10.1007/978-3-642-32726-1_12",
}

Genetic Programming entries for Esther Mohr Guenter Schmidt Sebastian Jansen

Citations