Algorithmic Trading with Developmental and Linear Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.4496

  author =       "Garnett Wilson and Wolfgang Banzhaf",
  title =        "Algorithmic Trading with Developmental and Linear
                 Genetic Programming",
  booktitle =    "Genetic Programming Theory and Practice {VII}",
  year =         "2009",
  editor =       "Rick L. Riolo and Una-May O'Reilly and 
                 Trent McConaghy",
  series =       "Genetic and Evolutionary Computation",
  address =      "Ann Arbor",
  month =        "14-16 " # may,
  publisher =    "Springer",
  chapter =      "8",
  pages =        "119--134",
  keywords =     "genetic algorithms, genetic programming, Developmental
                 Genetic Programming, Linear Genetic Programming,
                 Computational Finance",
  isbn13 =       "978-1-4419-1653-2",
  DOI =          "doi:10.1007/978-1-4419-1626-6_8",
  abstract =     "A developmental co-evolutionary genetic programming
                 approach (PAM DGP) and a standard linear genetic
                 programming (LGP) stock trading system are applied to a
                 number of stocks across market sectors. Both GP
                 techniques were found to be robust to market
                 fluctuations and reactive to opportunities associated
                 with stock price rise and fall, with PAMDGP generating
                 notably greater profit in some stock trend scenarios.
                 Both algorithms were very accurate at buying to achieve
                 profit and selling to protect assets, while exhibiting
                 both moderate trading activity and the ability to
                 maximise or minimise investment as appropriate. The
                 content of the trading rules produced by both
                 algorithms are also examined in relation to stock price
                 trend scenarios.",
  notes =        "part of \cite{Riolo:2009:GPTP}",

Genetic Programming entries for Garnett Carl Wilson Wolfgang Banzhaf