Using Sector Information with Linear Genetic Programming for Intraday Equity Price Trend Analysis

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

@InProceedings{Wilson:2012:CEC,
  title =        "Using Sector Information with Linear Genetic
                 Programming for Intraday Equity Price Trend Analysis",
  author =       "Garnett Wilson and Derek Leblanc and 
                 Wolfgang Banzhaf",
  pages =        "1071--1078",
  booktitle =    "Proceedings of the 2012 IEEE Congress on Evolutionary
                 Computation",
  year =         "2012",
  editor =       "Xiaodong Li",
  month =        "10-15 " # jun,
  DOI =          "doi:10.1109/CEC.2012.6252899",
  address =      "Brisbane, Australia",
  ISBN =         "0-7803-8515-2",
  keywords =     "genetic algorithms, genetic programming, Computational
                 Intelligence in Finance, Economics and Management
                 Sciences (IEEE-CEC)",
  abstract =     "A number of researchers who apply genetic programming
                 (GP) to the analysis of financial data have had success
                 in using predictability pretests to determine whether
                 the time series under analysis by a GP contains
                 patterns that are actually inherently predictable.
                 However, most studies to date apply no such pretests,
                 or pretests of any kind. Most previous work in this
                 area has attempted to use filters to ensure inherent
                 predictability of the data within a window of a time
                 series, whereas other works have used multiple time
                 frame windows under analysis by the GP to provide one
                 overall GP recommendation. This work, for the first
                 time, analyses the use of external information about
                 the price trend of a stock's market sector. This
                 information is used in a filter to bolster confidence
                 of a GP-based alert regarding formation of a trend for
                 the chosen stock. Our results indicate a significant
                 improvement in trend identification for the majority of
                 stocks analysed using intraday data.",
  notes =        "WCCI 2012. CEC 2012 - A joint meeting of the IEEE, the
                 EPS and the IET.",
}

Genetic Programming entries for Garnett Carl Wilson Derek Leblanc Wolfgang Banzhaf

Citations