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Diverse Committees Vote for Dependable Profits

Yan, W; Clack, CD; (2007) Diverse Committees Vote for Dependable Profits. In: GECCO 2007: GENETIC AND EVOLUTIONARY COMPUTATION CONFERENCE, VOL 1 AND 2. (pp. 2226 - 2233). ASSOC COMPUTING MACHINERY

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Abstract

Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. I-low can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore an approach that uses a voting committee of GP individuals with differing phenotypic behaviour.

Type: Proceedings paper
Title: Diverse Committees Vote for Dependable Profits
Event: Annual Conference of Genetic and Evolutionary Computation Conference
Location: London, ENGLAND
Dates: 2007-07-07 - 2007-07-11
ISBN-13: 978-1-59593-697-4
Keywords: Genetic Programming, Robustness, Committee, Diversity, Finance, Dynamic Environment, TRACKING, ENSEMBLE
UCL classification: UCL > School of BEAMS > Faculty of Engineering Science
UCL > School of BEAMS > Faculty of Engineering Science > Computer Science
URI: http://discovery.ucl.ac.uk/id/eprint/124592
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