Adaptive genetic programming for option pricing
Created by W.Langdon from
gp-bibliography.bib Revision:1.8098
- @InProceedings{1274029,
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author = "Zheng Yin and Anthony Brabazon and Conall O'Sullivan",
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title = "Adaptive genetic programming for option pricing",
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booktitle = "Late breaking paper at Genetic and Evolutionary
Computation Conference {(GECCO'2007)}",
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year = "2007",
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month = "7-11 " # jul,
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editor = "Peter A. N. Bosman",
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isbn13 = "978-1-59593-698-1",
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pages = "2588--2594",
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address = "London, United Kingdom",
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keywords = "genetic algorithms, genetic programming, economics,
options pricing",
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URL = "http://gpbib.cs.ucl.ac.uk/gecco2007/docs/p2588.pdf",
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URL = "http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.148.760",
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DOI = "doi:10.1145/1274000.1274029",
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publisher = "ACM Press",
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publisher_address = "New York, NY, USA",
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bibsource = "OAI-PMH server at citeseerx.ist.psu.edu",
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contributor = "CiteSeerX",
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language = "en",
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oai = "oai:CiteSeerXPSU:10.1.1.148.760",
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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",
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notes = "Distributed on CD-ROM at GECCO-2007 ACM Order No.
910071",
- }
Genetic Programming entries for
Zheng Yin
Anthony Brabazon
Conall O'Sullivan
Citations