Genetic Programming in Statistical Arbitrage

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

@InProceedings{conf/evoW/SaksM08,
  title =        "Genetic Programming in Statistical Arbitrage",
  author =       "Philip Saks and Dietmar G. Maringer",
  bibdate =      "2008-04-15",
  bibsource =    "DBLP,
                 http://dblp.uni-trier.de/db/conf/evoW/evoW2008.html#SaksM08",
  booktitle =    "Proceedings of Evo{COMNET}, Evo{FIN}, Evo{HOT},
                 Evo{IASP}, Evo{MUSART}, Evo{NUM}, Evo{STOC}, and
                 EvoTransLog, Applications of Evolutionary Computing,
                 EvoWorkshops",
  publisher =    "Springer",
  year =         "2008",
  volume =       "4974",
  editor =       "Mario Giacobini and Anthony Brabazon and 
                 Stefano Cagnoni and Gianni {Di Caro} and Rolf Drechsler and 
                 Anik{\'o} Ek{\'a}rt and Anna Esparcia-Alc{\'a}zar and 
                 Muddassar Farooq and Andreas Fink and Jon McCormack and 
                 Michael O'Neill and Juan Romero and Franz Rothlauf and 
                 Giovanni Squillero and Sima Uyar and Shengxiang Yang",
  isbn13 =       "978-3-540-78760-0",
  pages =        "73--82",
  series =       "Lecture Notes in Computer Science",
  DOI =          "doi:10.1007/978-3-540-78761-7_8",
  address =      "Naples",
  month =        "26-28 " # mar,
  keywords =     "genetic algorithms, genetic programming",
  abstract =     "This paper employs genetic programming to discover
                 statistical arbitrage strategies on the banking sector
                 in the Euro Stoxx universe. Binary decision rules are
                 evolved using two different representations. The first
                 is the classical single tree approach, while the second
                 is a dual tree structure where evaluation is contingent
                 on the current market position. Hence, buy and sell
                 rules are co-evolved. Both methods are capable of
                 discovering significant statistical arbitrage
                 strategies.",
}

Genetic Programming entries for Philip Saks Dietmar G Maringer

Citations