- author = "Amy Willis and Suneer Patel and Christopher D. Clack",
- title = "{GP} age-layer and crossover effects in bid-offer spread prediction",
- booktitle = "GECCO '08: Proceedings of the 10th annual conference on Genetic and evolutionary computation",
- year = "2008",
- editor = "Maarten Keijzer and Giuliano Antoniol and Clare Bates Congdon and Kalyanmoy Deb and Benjamin Doerr and Nikolaus Hansen and John H. Holmes and Gregory S. Hornby and Daniel Howard and James Kennedy and Sanjeev Kumar and Fernando G. Lobo and Julian Francis Miller and Jason Moore and Frank Neumann and Martin Pelikan and Jordan Pollack and Kumara Sastry and Kenneth Stanley and Adrian Stoica and El-Ghazali Talbi and Ingo Wegener",
- isbn13 = "978-1-60558-130-9",
- pages = "1665--1672",
- address = "Atlanta, GA, USA",
-
URL = "
http://gpbib.cs.ucl.ac.uk/gecco2008/docs/p1665.pdf",
-
DOI = "
doi:10.1145/1389095.1389407",
- publisher = "ACM",
- publisher_address = "New York, NY, USA",
- month = "12-16 " # jul,
- keywords = "genetic algorithms, genetic programming, age layers, ALPS, crossover, finance, options, spreads, Real-World application",
- size = "8 pages",
- abstract = "The bid-offer spread on equity options is a key source of profits for market makers, and a key cost for those trading in the options. Spreads are influenced by dynamic market factors, but is there also a predictable element and can Genetic Programming be used for such prediction? We investigate a standard GP approach and two optimisations age-layering and a novel crossover operator. If both are beneficial as independent optimisations, will they be mutually beneficial when applied simultaneously? Our experiments show a degree of success in predicting spreads, we demonstrate significant benefits for each optimisation technique used individually, and we show that when both are used together significant detrimental over-fitting can occur.",
-
notes = "GECCO-2008 A joint meeting of the seventeenth
international conference on genetic algorithms
(ICGA-2008) and the thirteenth annual genetic
programming conference (GP-2008).
ACM Order Number 910081. Also known as \cite{1389407}",
