- author = "Ghada Hassan and Christopher D. Clack",
- title = "Robustness of multiple objective GP stock-picking in unstable financial markets: real-world applications track",
- booktitle = "GECCO '09: Proceedings of the 11th Annual conference on Genetic and evolutionary computation",
- year = "2009",
- editor = "Guenther Raidl and Franz Rothlauf and Giovanni Squillero and Rolf Drechsler and Thomas Stuetzle and Mauro Birattari and Clare Bates Congdon and Martin Middendorf and Christian Blum and Carlos Cotta and Peter Bosman and Joern Grahl and Joshua Knowles and David Corne and Hans-Georg Beyer and Ken Stanley and Julian F. Miller and Jano {van Hemert} and Tom Lenaerts and Marc Ebner and Jaume Bacardit and Michael O'Neill and Massimiliano {Di Penta} and Benjamin Doerr and Thomas Jansen and Riccardo Poli and Enrique Alba",
- pages = "1513--1520",
- address = "Montreal",
- publisher = "ACM",
- publisher_address = "New York, NY, USA",
- month = "8-12 " # jul,
- organisation = "SigEvo",
- keywords = "genetic algorithms, genetic programming",
- isbn13 = "978-1-60558-325-9",
- bibsource = "DBLP, http://dblp.uni-trier.de",
-
DOI = "
doi:10.1145/1569901.1570104",
-
abstract = "Multiple Objective Genetic Programming (MOGP) is a
promising stock-picking technique for fund managers,
because the Pareto front approximates the risk/reward
Efficient Frontier and simplifies the choice of
investment model for a given client's attitude to
risk.
Unfortunately GP solutions don't work well if used in an environment that is different from the training environment, and the financial markets are notoriously unstable, often lurching from one market context to another (e.g. {"}bull{"} to {"}bear{"}). This turns out to be a hard problem -- simple dynamic adaptation methods are insufficient and robust behaviour of solutions becomes extremely important.
In this paper we provide the first known empirical results on the robustness of MOGP solutions in an unseen environment consisting of real-world financial data. We focus on two well-known mechanisms to determine which leads to the more robust solutions: Mating Restriction, and Diversity Preservation. We introduce novel metrics for Pareto front robustness, and a novel variation on Mating Restriction, both based on phenotypic cluster analysis.",
-
notes = "GECCO-2009 A joint meeting of the eighteenth
international conference on genetic algorithms
(ICGA-2009) and the fourteenth annual genetic
programming conference (GP-2009).
ACM Order Number 910092.",
