Stock trading using linear genetic programming with multiple time frames

Created by W.Langdon from gp-bibliography.bib Revision:1.7810

@InProceedings{Wilson:2011:GECCO,

• author = "Garnett Wilson and Derek Leblanc and Wolfgang Banzhaf",
• title = "Stock trading using linear genetic programming with multiple time frames",
• booktitle = "GECCO '11: Proceedings of the 13th annual conference on Genetic and evolutionary computation",
• year = "2011",
• editor = "Natalio Krasnogor and Pier Luca Lanzi and Andries Engelbrecht and David Pelta and Carlos Gershenson and Giovanni Squillero and Alex Freitas and Marylyn Ritchie and Mike Preuss and Christian Gagne and Yew Soon Ong and Guenther Raidl and Marcus Gallager and Jose Lozano and Carlos Coello-Coello and Dario Landa Silva and Nikolaus Hansen and Silja Meyer-Nieberg and Jim Smith and Gus Eiben and Ester Bernado-Mansilla and Will Browne and Lee Spector and Tina Yu and Jeff Clune and Greg Hornby and Man-Leung Wong and Pierre Collet and Steve Gustafson and Jean-Paul Watson and Moshe Sipper and Simon Poulding and Gabriela Ochoa and Marc Schoenauer and Carsten Witt and Anne Auger",
• isbn13 = "978-1-4503-0557-0",
• pages = "1667--1674",
• keywords = "genetic algorithms, genetic programming, Real world applications",
• month = "12-16 " # jul,
• organisation = "SIGEVO",
• address = "Dublin, Ireland",
• DOI = "doi:10.1145/2001576.2001801",
• publisher = "ACM",
• publisher_address = "New York, NY, USA",
• abstract = "A number of researchers have attempted to take successful GP trading systems and make them even better through the use of filters. We investigate the use of a linear genetic programming (LGP) system that combines GP signals provided over multiple intraday time frames to produce one trading action. Four combinations of time frames stretching further into the past are examined. Two different decision mechanisms for evaluating the overall signal given the GP signals over all time frames are also examined, one based on majority vote and another based on temporal proximity to the buying decision. Results indicated that majority vote outperformed emphasis on proximity of time frames to the current trading decision. Analyses also indicated that longer time frame combinations were more conservative and outperformed shorter combinations for both overall upward and downward price trends.",
• notes = "Also known as \cite{2001801} GECCO-2011 A joint meeting of the twentieth international conference on genetic algorithms (ICGA-2011) and the sixteenth annual genetic programming conference (GP-2011)",

}

Genetic Programming entries for Garnett Carl Wilson Derek Leblanc Wolfgang Banzhaf

Citations