Objective Function Design in a Grammatical Evolutionary Trading System

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@InProceedings{bradley_etal:cec2010,
  author =       "Robert Bradley and Anthony Brabazon and 
                 Michael O'Neill",
  title =        "Objective Function Design in a Grammatical
                 Evolutionary Trading System",
  booktitle =    "2010 IEEE World Congress on Computational
                 Intelligence",
  pages =        "3487--3494",
  year =         "2010",
  address =      "Barcelona, Spain",
  month =        "18-23 " # jul,
  organization = "IEEE Computational Intelligence Society",
  publisher =    "IEEE Press",
  isbn13 =       "978-1-4244-6910-9",
  keywords =     "genetic algorithms, genetic programming, grammatical
                 evolution",
  DOI =          "doi:10.1109/CEC.2010.5586020",
  abstract =     "Designing a suitable objective function is an
                 essential step in successfully applying an evolutionary
                 algorithm to a problem. In this study we apply a
                 grammar-based Genetic Programming algorithm called
                 Grammatical Evolution to the problem of trading model
                 induction. A number of experiments were performed to
                 assess the effect of objective function design on the
                 trading characteristics of the evolved trading
                 strategies. Empirical results suggest that the choice
                 of objective function has a significant impact. The
                 paper concludes with in and out-of-sample results, and
                 indicates a number of avenues of future work.",
  notes =        "WCCI 2010. Also known as \cite{5586020}",
}

Genetic Programming entries for Robert Gregory Bradley Anthony Brabazon Michael O'Neill

Citations