Yan, W and 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 > Computer Science |
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