Constructing Portfolio Investment Strategy Based on Time Adapting Genetic Network Programming
Created by W.Langdon from
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- @InProceedings{Chen2:2009:cec,
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author = "Yan Chen and Shingo Mabu and Etsushi Ohkawa and
Kotaro Hirasawa",
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title = "Constructing Portfolio Investment Strategy Based on
Time Adapting Genetic Network Programming",
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booktitle = "2009 IEEE Congress on Evolutionary Computation",
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year = "2009",
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editor = "Andy Tyrrell",
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pages = "2379--2386",
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address = "Trondheim, Norway",
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month = "18-21 " # may,
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organization = "IEEE Computational Intelligence Society",
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publisher = "IEEE Press",
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isbn13 = "978-1-4244-2959-2",
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file = "P026.pdf",
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DOI = "doi:10.1109/CEC.2009.4983238",
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keywords = "genetic algorithms, genetic programming, genetic
network programming, Japanese stock market, candlestick
chart, evolutionary method, investment advice,
portfolio investment strategy, portfolio model,
portfolio optimisation problem, portfolio problem,
stock prices, technical analysis rules, technical
indices, time adapting genetic network programming,
investment, stock markets",
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abstract = "The classical portfolio problem is a problem of
distributing capital to a set of stocks. By adapting to
the change of stock prices, this study proposes an
portfolio investment strategy based on an evolutionary
method named {"}Genetic Network Programming{"} (GNP).
This method makes use of the information from Technical
Indices and Candlestick Chart. The proposed portfolio
model, consisting of technical analysis rules, are
trained to generate investment advice. Experimental
results on the Japanese stock market show that the
proposed investment strategy using Time Adapting GNP
(TA-GNP) method outperforms other traditional models in
terms of both accuracy and efficiency. We also compared
the experimental results of the proposed model with the
conventional GNP based methods, GA and Buy&Hold
method to confirm its effectiveness, and it is
clarified that the proposed investment strategy is
effective on the portfolio optimization problem.",
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notes = "CEC 2009 - A joint meeting of the IEEE, the EPS and
the IET. IEEE Catalog Number: CFP09ICE-CDR. Also known
as \cite{4983238}",
- }
Genetic Programming entries for
Yan Chen
Shingo Mabu
Etsushi Ohkawa
Kotaro Hirasawa
Citations