Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms
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- @Article{Karatahansopoulos:2014:jfor,
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author = "Andreas Karatahansopoulos and Georgios Sermpinis and
Jason Laws and Christian Dunis",
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title = "Modelling and Trading the Greek Stock Market with Gene
Expression and Genetic Programing Algorithms",
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journal = "Journal of Forecasting",
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year = "2014",
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volume = "33",
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number = "8",
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ISSN = "1099-131X",
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URL = "http://dx.doi.org/10.1002/for.2290",
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DOI = "doi:10.1002/for.2290",
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pages = "596--610",
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keywords = "genetic algorithms, genetic programming, gene
expression programming, leverage, quantitative trading
strategies, evolutionary algorithms",
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month = dec,
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abstract = "This paper presents an application of the gene
expression programming (GEP) and integrated genetic
programming (GP) algorithms to the modelling of ASE 20
Greek index. GEP and GP are robust evolutionary
algorithms that evolve computer programs in the form of
mathematical expressions, decision trees or logical
expressions. The results indicate that GEP and GP
produce significant trading performance when applied to
ASE 20 and outperform the well-known existing methods.
The trading performance of the derived models is
further enhanced by applying a leverage filter",
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publisher = "Wiley",
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ISSN = "0277-6693",
- }
Genetic Programming entries for
Andreas S Karathanasopoulos
Georgios Sermpinis
Jason Laws
Christian L Dunis
Citations