An Automated Investing Method for Stock Market Based on Multiobjective Genetic Programming

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@Article{Pimenta:CE,

• author = "Alexandre Pimenta and Ciniro A. L. Nametala and Frederico G. Guimaraes and Eduardo G. Carrano",
• title = "An Automated Investing Method for Stock Market Based on Multiobjective Genetic Programming",
• journal = "Computational Economics",
• year = "2018",
• volume = "52",
• number = "1",
• pages = "125--144",
• month = jun,
• keywords = "genetic algorithms, genetic programming, Multiobjective optimization, Technical analysis, Stock exchange market, Feature selection, BOVESPA",
• ISSN = "1572-9974",
• DOI = "doi:10.1007/s10614-017-9665-9",
• size = "20 pages",
• abstract = "Stock market automated investing is an area of strong interest for the academia, casual, and professional investors. In addition to conventional market methods, various sophisticated techniques have been employed to deal with such a problem, such as ARCH/GARCH predictors, artificial neural networks, fuzzy logic, etc. A computational system that combines a conventional market method (technical analysis), genetic programming, and multiobjective optimization is proposed in this work. This system was tested in six historical time series of representative assets from Brazil stock exchange market (BOVESPA). The proposed method led to profits considerably higher than the variation of the assets in the period. The financial return was positive even in situations in which the share lost market value.",
• notes = "Pimenta's PhD thesis?",

}

Genetic Programming entries for Alexandre Pimenta Ciniro Aparecido Leite Nametala Frederico Gadelha Guimaraes Eduardo Gontijo Carrano

Citations