Adaptive genetic programming for option pricing

Created by W.Langdon from gp-bibliography.bib Revision:1.7642

@InProceedings{1274029,

• author = "Zheng Yin and Anthony Brabazon and Conall O'Sullivan",
• title = "Adaptive genetic programming for option pricing",
• booktitle = "Late breaking paper at Genetic and Evolutionary Computation Conference {(GECCO'2007)}",
• year = "2007",
• month = "7-11 " # jul,
• editor = "Peter A. N. Bosman",
• isbn13 = "978-1-59593-698-1",
• pages = "2588--2594",
• address = "London, United Kingdom",
• keywords = "genetic algorithms, genetic programming, economics, options pricing",
• URL = "http://gpbib.cs.ucl.ac.uk/gecco2007/docs/p2588.pdf",
• URL = "http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.148.760",
• DOI = "doi:10.1145/1274000.1274029",
• publisher = "ACM Press",
• publisher_address = "New York, NY, USA",
• bibsource = "OAI-PMH server at citeseerx.ist.psu.edu",
• contributor = "CiteSeerX",
• language = "en",
• oai = "oai:CiteSeerXPSU:10.1.1.148.760",
• abstract = "Genetic Programming (GP) is an automated computational programming methodology, inspired by the workings of natural evolution techniques. It has been applied to solve complex problems in multiple domains including finance. This paper illustrates the application of an adaptive form of GP, where the probability of crossover and mutation is adapted dynamically during the GP run, to the important real-world problem of options pricing. The tests are carried out using market option price data and the results illustrate that the new method yields better results than are obtained from GP with fixed crossover and mutation rates. The developed method has potential for implementation across a range of dynamic problem environments. Categories and Subject Descriptors",
• notes = "Distributed on CD-ROM at GECCO-2007 ACM Order No. 910071",

}

Genetic Programming entries for Zheng Yin Anthony Brabazon Conall O'Sullivan

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