yan, W and clack, CD (2009) Behavioural GP diversity for adaptive stock selection. In: (Proceedings) Genetic and Evolutionary Computation (GECCO 2009). (pp. 1641 - 1648). ACM
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Abstract
We present a new mechanism for preserving phenotypic behavioural diversity in Genetic Programming. We provide a real-world case study for hedge fund portfolio optimization, and experimental results on real-world data that indicate the importance of phenotypic behavioural diversity both in achieving higher fitness and in improving the robustness of the GP population for continuous learning.
| Type: | Proceedings paper |
|---|---|
| Title: | Behavioural GP diversity for adaptive stock selection |
| Event: | Genetic and Evolutionary Computation (GECCO 2009) |
| Location: | Montreal, Canada |
| Dates: | 2009-07-08 - 2009-07-12 |
| ISBN-13: | 978-1-60558-325-9 |
| DOI: | 10.1145/1569901.1570120 |
| Keywords: | Genetic Programming, Diversity, Phenotype, Finance, Robustness, Dynamic Environment |
| UCL classification: | UCL > School of BEAMS > Faculty of Engineering Science > Computer Science |
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