Constructing Portfolio Investment Strategy Based on Time Adapting Genetic Network Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{Chen2:2009:cec,

• author = "Yan Chen and Shingo Mabu and Etsushi Ohkawa and Kotaro Hirasawa",
• title = "Constructing Portfolio Investment Strategy Based on Time Adapting Genetic Network Programming",
• booktitle = "2009 IEEE Congress on Evolutionary Computation",
• year = "2009",
• editor = "Andy Tyrrell",
• pages = "2379--2386",
• address = "Trondheim, Norway",
• month = "18-21 " # may,
• organization = "IEEE Computational Intelligence Society",
• publisher = "IEEE Press",
• isbn13 = "978-1-4244-2959-2",
• file = "P026.pdf",
• DOI = "doi:10.1109/CEC.2009.4983238",
• 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",
• 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.",
• 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