Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms

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@Article{Karatahansopoulos:2014:jfor,

• author = "Andreas Karatahansopoulos and Georgios Sermpinis and Jason Laws and Christian Dunis",
• title = "Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms",
• journal = "Journal of Forecasting",
• year = "2014",
• volume = "33",
• number = "8",
• ISSN = "1099-131X",
• URL = "http://dx.doi.org/10.1002/for.2290",
• DOI = "doi:10.1002/for.2290",
• pages = "596--610",
• keywords = "genetic algorithms, genetic programming, gene expression programming, leverage, quantitative trading strategies, evolutionary algorithms",
• month = dec,
• abstract = "This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter",
• publisher = "Wiley",
• ISSN = "0277-6693",

}

Genetic Programming entries for Andreas S Karathanasopoulos Georgios Sermpinis Jason Laws Christian L Dunis

Citations