Optimization of Trading Rules for the Spanish Stock Market by Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{conf/ieaaie/LuengoWBC15,

• author = "Sergio Luengo and Stephan Winkler and David F. Barrero and Bonifacio Castano",
• title = "Optimization of Trading Rules for the Spanish Stock Market by Genetic Programming",
• booktitle = "28th International Conference on Industrial, Engineering and Other Applications of Applied Intelligent Systems, {IEA}/{AIE} 2015",
• year = "2015",
• editor = "Moonis Ali and Young Sig Kwon and Chang-Hwan Lee and Juntae Kim and Yongdai Kim",
• volume = "9101",
• series = "Lecture Notes in Computer Science",
• pages = "623--634",
• address = "Seoul, South Korea",
• month = jun # " 10-12",
• publisher = "Springer",
• keywords = "genetic algorithms, genetic programming",
• isbn13 = "978-3-319-19065-5",
• bibdate = "2015-04-30",
• bibsource = "DBLP, http://dblp.uni-trier.de/db/conf/ieaaie/ieaaie2015.html#LuengoWBC15",
• URL = "https://www.ieaaie2015.org/sub/acceptedpapers.asp",
• URL = "https://pure.fh-ooe.at/en/publications/optimization-of-trading-rules-for-the-spanish-stock-market-by-gen",
• DOI = "doi:10.1007/978-3-319-19066-2_60",
• abstract = "This paper deals with the development of a method for generating input and output signals in the Spanish stock market. It is based on the application of set of simple trading rules optimized by genetic programming. To this aim we use the HeuristicLab software. To evaluate the performance of our method we make a comparison with other traditional methods such as Buy and Hold and Simple Moving Averages Crossover. We study three different market scenarios: bull market, bear market and sideways market. Empirical test series show that market global behavior has a great influence on the results of each method and that strategies based on genetic programming perform best in the sideways market.",
• notes = "Proceedings published as Current Approaches in Applied Artificial Intelligence, 2015",
• URL = "http://dx.doi.org/",

}

Genetic Programming entries for Sergio Luengo Stephan M Winkler David F Barrero Bonifacio Castano

Citations