EDDIE beats the bookies

Created by W.Langdon from gp-bibliography.bib Revision:1.4549

  author =       "Edward P. K. Tsang and Jin Li and James M. Butler",
  title =        "EDDIE beats the bookies",
  journal =      "Software: Practice and Experience",
  year =         "1998",
  volume =       "28",
  number =       "10",
  pages =        "1033--1043",
  keywords =     "genetic algorithms, genetic programming, finance,
                 forecasting, horse racing, investment",
  ISSN =         "0038-0644",
  URL =          "http://cswww.essex.ac.uk/CSP/finance/papers/TsBuLi-Eddie-Software98.pdf",
  URL =          "http://www3.interscience.wiley.com/cgi-bin/abstract/10007354/START",
  DOI =          "doi:10.1002/(SICI)1097-024X(199808)28:10<1033::AID-SPE198>3.0.CO;2-1",
  size =         "15 pages",
  abstract =     "Investment involves the maximisation of return on ones
                 investment whilst minimising risk. Good forecasting,
                 which often requires expert knowledge, can help to
                 reduce risk. In this paper, we propose a genetic
                 programming-based system, EDDIE (Evolutionary Dynamic
                 Data Investment Evaluator), as a forecasting tool.
                 Genetic programming is inspired by evolution theory,
                 and has been demonstrated to be successful in other
                 areas. EDDIE interacts with the users and generates
                 decision trees, which can also be seen as rule sets. We
                 argue that EDDIE is suitable for forecasting because
                 apart from using the power of genetic programming to
                 efficiently search the space of decision trees, it
                 allows expert knowledge to be channelled into
                 forecasting, and it generates rules which can easily be
                 understood and verified. EDDIE has been applied to
                 horse racing and achieved outstanding results. When
                 experimented on 180 handicap races (real data) in the
                 UK, it out-performed other common strategies used in
                 horse race betting by great margins. The idea was then
                 extended to financial forecasting. When tested on
                 historical S&P-500 data EDDIE achieved a respectable
                 annual rate of return over a three and a half year
                 period. While luck may play a part in the success of
                 EDDIE, our experimental results do indicate that EDDIE
                 is a tool which deserves more research. c 1998 John
                 Wiley & Sons, Ltd.",
  notes =        "See also \cite{butler:1995:eddie}",

Genetic Programming entries for Edward P K Tsang Jin Li James M Butler