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GECCO
2009
Springer

Genetic programming for quantitative stock selection

8 years 9 months ago
Genetic programming for quantitative stock selection
We provide an overview of using genetic programming (GP) to model stock returns. Our models employ GP terminals (model decision variables) that are financial factors identified by experts. We describe the multi-stage training, testing and validation process that we have integrated with GP selection to be appropriate for financial panel data and how the GP solutions are situated within a portfolio selection strategy. We share our experience with the pros and cons of evolved linear and nonlinear models, and outline how we have used GP extensions to balance different objectives of portfolio managers and control the complexity of evolved models. Categories and Subject Descriptors J.1 [Computer Applications]: Financial, I.2 [Computing Methodologies]: Artificial Intelligence. General Terms Algorithms, Economics Keywords genetic programming, genetic algorithm, stock selection, quantitative asset management, symbolic regression
Ying L. Becker, Una-May O'Reilly
Added 17 Feb 2011
Updated 17 Feb 2011
Type Journal
Year 2009
Where GECCO
Authors Ying L. Becker, Una-May O'Reilly
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