- author = "Yan Chen and Zhihui Shi",
- title = "Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta",
- journal = "Journal of Advanced Computational Intelligence and Intelligent Informatics",
- year = "2016",
- volume = "20",
- number = "3",
- pages = "484--491",
- month = may,
- keywords = "genetic algorithms, genetic programming, portfolio beta, genetic relation algorithm, robust genetic network programming, stock trading",
- ISSN = "1343-0130",
- timestamp = "Fri, 18 Sep 2020 01:00:00 +0200",
-
biburl = "
https://dblp.org/rec/journals/jaciii/ChenS16.bib",
- bibsource = "dblp computer science bibliography, https://dblp.org",
-
URL = "https://doi.org/10.20965/jaciii.2016.p0484",
-
DOI = "
doi:10.20965/jaciii.2016.p0484",
- size = "8 pages",
- abstract = "Robust Genetic Network Programming (R-GNP) for generating trading rules for stocks is described. R-GNP is a new evolutionary algorithm, where solutions are represented using graph structures. It has been clarified that R-GNP works well especially in dynamic environments. In the proposed hybrid model, R-GNP is applied to generating stock trading rules with variance of fitness values. The unique point is that the generalization ability of R-GNP is improved by using the robust fitness function, which consists of the fitness functions with the original data and a good number of correlated data. Generally speaking, the hybrid intelligent system consists of three steps: priority selection by the portfolio beta, optimization by the Genetic Relation Algorithm (GRA), and stock trading by R-GNP. In the simulations, the trading model is trained using the stock prices of 10 brands on the Tokyo Stock Exchange, and then the generalization ability is tested. From the simulation results, it is clarified that the trading rules created by the proposed R-GNP model obtain much higher profits than the traditional methods even in the world-wide financial crisis of 2007. Hence, its effectiveness has been confirmed.",
-
notes = "also known as \cite{Chen_2016jaciii}
School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China",
