Grammatical Evolution-based ensembles for algorithmic trading

Created by W.Langdon from gp-bibliography.bib Revision:1.7954

@Article{journals/asc/MartinQI19,

• title = "Grammatical Evolution-based ensembles for algorithmic trading",
• author = "Carlos Martin and David Quintana and Pedro Isasi",
• journal = "Applied Soft Computing",
• year = "2019",
• volume = "84",
• pages = "105713",
• month = nov,
• keywords = "genetic algorithms, genetic programming, grammatical evolution, Trading, Ensembles, Finance",
• ISSN = "1568-4946",
• URL = "https://www.sciencedirect.com/science/article/pii/S1568494619304946",
• bibdate = "2019-11-26",
• DOI = "doi:10.1016/j.asoc.2019.105713",
• bibsource = "DBLP, http://dblp.uni-trier.de/db/journals/asc/asc84.html#MartinQI19",
• abstract = "The literature on trading algorithms based on Grammatical Evolution commonly presents solutions that rely on static approaches. Given the prevalence of structural change in financial time series, that implies that the rules might have to be updated at predefined time intervals. We introduce an alternative solution based on an ensemble of models which are trained using a sliding window. The structure of the ensemble combines the flexibility required to adapt to structural changes with the need to control for the excessive transaction costs associated with over-trading. The performance of the algorithm is benchmarked against five different comparable strategies that include the traditional static approach, the generation of trading rules that are used for single time period and are subsequently discarded, and three alternatives based on ensembles with different voting schemes. The experimental results, based on market data, show that the suggested approach offers very competitive results against comparable solutions and highlight the importance of containing transaction costs.",
• notes = "Universidad Carlos III de Madrid, Department of Computer Science, Avda. Universidad 30, Leganes, Madrid, Spain",

}

Genetic Programming entries for Carlos Martin David Quintana Montero Pedro Isasi Vinuela

Citations