An in-depth investigation of genetic programming and nine other machine learning algorithms in a financial forecasting problem

Created by W.Langdon from gp-bibliography.bib Revision:1.8081

@InProceedings{Long:2022:CEC,

• author = "Xinpeng Long and Michael Kampouridis and Delaram Jarchi",
• booktitle = "2022 IEEE Congress on Evolutionary Computation (CEC)",
• title = "An in-depth investigation of genetic programming and nine other machine learning algorithms in a financial forecasting problem",
• year = "2022",
• editor = "Carlos A. Coello Coello and Sanaz Mostaghim",
• address = "Padua, Italy",
• month = "18-23 " # jul,
• isbn13 = "978-1-6654-6708-7",
• abstract = "Machine learning (ML) techniques have shown to be useful in the field of financial forecasting. In particular, genetic programming has been a popular ML algorithm with proven success in improving financial forecasting. Meanwhile, the performance of such ML algorithms depends on a number of factors including data analysis from different markets, data periods, forecasting days ahead, and the transaction cost which have been neglected in most previous studies. Therefore, the focus of this paper is on investigating the effect of such factors. We perform an extensive evaluation of a financial genetic programming-based approach and compare its performance against 9 popular machine learning algorithms and the buy and hold trading strategy. Experiments take place over daily data from 220 datasets from 10 international markets. Results show that genetic programming not only provides profitable results but also outperforms the 9 machine learning algorithms in terms of risk and Sharpe ratio.",
• keywords = "genetic algorithms, genetic programming, Machine learning algorithms, Data analysis, Costs, Machine learning, Evolutionary computation, Benchmark testing, Machine learning, Financial forecasting, Algorithmic trading",
• DOI = "doi:10.1109/CEC55065.2022.9870351",
• notes = "Also known as \cite{9870351}",

}

Genetic Programming entries for Xinpeng Long Michael Kampouridis Delaram Jarchi

Citations