Geometric Semantic Genetic Programming for Financial Data

Created by W.Langdon from gp-bibliography.bib Revision:1.8120

@InProceedings{mcdermott:evoapps14,

• author = "James McDermott and Alexandros Agapitos and Anthony Brabazon and Michael O'Neill",
• title = "Geometric Semantic Genetic Programming for Financial Data",
• booktitle = "17th European Conference on the Applications of Evolutionary Computation",
• year = "2014",
• editor = "Anna Isabel Esparcia-Alcazar and Antonio Miguel Mora",
• series = "LNCS",
• volume = "8602",
• publisher = "Springer",
• pages = "215--226",
• address = "Granada",
• month = "23-25 " # apr,
• organisation = "EvoStar",
• keywords = "genetic algorithms, genetic programming, Automated trading, Commodity, Exchange rate, Index, Semantics, Fitness landscape, Hill-climbing",
• isbn13 = "978-3-662-45522-7",
• DOI = "doi:10.1007/978-3-662-45523-4",
• size = "12 pages",
• abstract = "We cast financial trading as a symbolic regression problem on the lagged time series, and test a state of the art symbolic regression method on it. The system is geometric semantic genetic programming, which achieves good performance by converting the fitness landscape to a cone landscape which can be searched by hill-climbing. Two novel variants are introduced and tested also, as well as a standard hill-climbing genetic programming method. Baselines are provided by buy-and-hold and ARIMA. Results are promising for the novel methods, which produce smaller trees than the existing geometric semantic method. Results are also surprisingly good for standard genetic programming. New insights into the behaviour of geometric semantic genetic programming are also generated.",
• affiliation = "Financial Mathematics and Computation Research Cluster Natural Computing Research and Applications Group Complex and Adaptive Systems Laboratory, University College Dublin, Ireland",
• notes = "evoFIN EvoApplications2014 held in conjunction with EuroGP'2014, EvoCOP2014, EvoBIO2014, and EvoMusArt2014",

}

Genetic Programming entries for James McDermott Alexandros Agapitos Anthony Brabazon Michael O'Neill

Citations