- author = "Esther Mohr and Guenter Schmidt and Sebastian Jansen",
- title = "A Comparative Study of Heuristic Conversion Algorithms, Genetic Programming and Return Predictability on the German Market",
- booktitle = "EVOLVE A Bridge between Probability, Set Oriented Numerics and Evolutionary Computation",
- publisher = "Springer",
- year = "2013",
- editor = "Emilia Tantar and Alexandru-Adrian Tantar and Pascal Bouvry and Pierre {Del Moral} and Pierrick Legrand and Carlos A. {Coello Coello} and Oliver Schuetze",
- volume = "447",
- series = "Studies in Computational Intelligence",
- chapter = "12",
- pages = "393--414",
- keywords = "genetic algorithms, genetic programming, symbolic regression",
- isbn13 = "978-3-642-32725-4",
-
DOI = "
doi:10.1007/978-3-642-32726-1_12",
- abstract = "This paper evaluates the predictability of the heuristic conversion algorithms Moving Average Crossover and Trading Range Breakout in the German stock market. Hypothesis testing and a bootstrap procedure are used to test for predictive ability. Results show that the algorithms considered do not have predictive ability. Further, Genetic Programming is used to adapt the buying and selling rules of the investigated algorithms resulting in a new algorithm. Results show that a genetic programming approach does not lead to good new algorithms. We extend former works by using the Sortino Ratio as a measure of risk, and by applying competitive analysis.",
-
notes = "Research papers that were presented at the
international workshop EVOLVE 2011. EVOLVE 2011 was
jointly organized by the University of Luxembourg,
CINVESTAV, Mexico (Research and Advanced Studies Center
of the National Polytechnic Institute of Mexico) and
INRIA, France.
1. Saarland University, P.O. Box 151150, D-66041, Saarbruecken, Germany 2. Banking and Financial Services, University of Hohenheim, D-70593, Stuttgart, Germany
doi:10.1007/978-3-642-32726-1_12",
