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EVOW
2008
Springer

Genetic Programming in Statistical Arbitrage

8 years 11 months ago
Genetic Programming in Statistical Arbitrage
Abstract. This paper employs genetic programming to discover statistical arbitrage strategies on the banking sector in the Euro Stoxx universe. Binary decision rules are evolved using two different representations. The first is the classical single tree approach, while the second is a dual tree structure where evaluation is contingent on the current market position. Hence, buy and sell rules are co-evolved. Both methods are capable of discovering significant statistical arbitrage strategies.
Philip Saks, Dietmar G. Maringer
Added 19 Oct 2010
Updated 19 Oct 2010
Type Conference
Year 2008
Where EVOW
Authors Philip Saks, Dietmar G. Maringer
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