Dynamic Generation of Investment Recommendations Using Grammatical Evolution
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- @Article{journals/ijimai/MartinQI21,
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author = "Carlos Martin and David Quintana and Pedro Isasi",
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title = "Dynamic Generation of Investment Recommendations Using
Grammatical Evolution",
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journal = "International Journal of Interactive Multimedia and
Artificial Intelligence",
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year = "2021",
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volume = "6",
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number = "6",
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pages = "104--111",
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month = jun,
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keywords = "genetic algorithms, genetic programming, grammatical
evolution, Dynamic Strategy, Evolutionary Computation,
Finance, Structural Change, Trading",
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ISSN = "1989-1660",
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bibdate = "2021-06-01",
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bibsource = "DBLP,
http://dblp.uni-trier.de/db/journals/ijimai/ijimai6.html#MartinQI21",
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URL = "https://www.ijimai.org/journal/sites/default/files/2021-05/ijimai_6_6_11.pdf",
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DOI = "doi:10.9781/ijimai.2021.04.007",
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size = "8 pages",
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abstract = "The attainment of trading rules using Grammatical
Evolution traditionally follows a static approach. A
single rule is obtained and then used to generate
investment recommendations over time. The main
disadvantage of this approach is that it does not
consider the need to adapt to the structural changes
that are often associated with financial time series.
We improve the canonical approach introducing an
alternative that involves a dynamic selection mechanism
that switches between an active rule and a candidate
one optimised for the most recent market data
available. The proposed solution seeks the flexibility
required by structural changes while limiting the
transaction costs commonly associated with constant
model updates. The performance of the algorithm is
compared with four alternatives: the standard static
approach; a sliding window-based generation of trading
rules that are used for a single time period, and two
ensemble-based strategies. The experimental results,
based on market data, show that the suggested approach
beats the rest.",
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notes = "Department of Computer Science and Engineering,
Universidad Carlos III de Madrid, Leganes (Spain)",
- }
Genetic Programming entries for
Carlos Martin
David Quintana Montero
Pedro Isasi Vinuela
Citations