Pruning Generalized Rules for Stock Markets Accumulated by Genetic Network Programming with Rule Accumulation

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

@InProceedings{Xing:2011:PGRfSMAbGNPwRA,
  title =        "Pruning Generalized Rules for Stock Markets
                 Accumulated by Genetic Network Programming with Rule
                 Accumulation",
  author =       "Yafei Xing and Shingo Mabu and Kotaro Hirasawa",
  pages =        "2473--2479",
  booktitle =    "Proceedings of the 2011 IEEE Congress on Evolutionary
                 Computation",
  year =         "2011",
  editor =       "Alice E. Smith",
  month =        "5-8 " # jun,
  address =      "New Orleans, USA",
  organization = "IEEE Computational Intelligence Society",
  publisher =    "IEEE Press",
  ISBN =         "0-7803-8515-2",
  keywords =     "genetic algorithms, genetic programming, genetic
                 network programming, Finance and economics",
  DOI =          "doi:10.1109/CEC.2011.5949924",
  abstract =     "A new strategy on pruning rules accumulated by Genetic
                 Network Programming with Rule Accumulation (GNP-RA) has
                 been proposed in this paper. The generalised rules
                 extracted by training GNP are pruned by GA in the
                 validation phase. Each rule has two variables: U and N.
                 Variable U determines if the rule is used or not, while
                 variable N shows that the information on N days is
                 used. By mutating variables U and N of each rule, the
                 portfolio of U and N is changed, as a result, the rules
                 are pruned. The performance of the pruned rules is
                 tested in the testing phase, meanwhile, the best
                 mutation rates for variable U and variable N are also
                 studied. The simulation results show that the pruned
                 rules work better than the rules without pruning.",
  notes =        "CEC2011 sponsored by the IEEE Computational
                 Intelligence Society, and previously sponsored by the
                 EPS and the IET.",
}

Genetic Programming entries for Yafei Xing Shingo Mabu Kotaro Hirasawa

Citations