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Behavioural GP diversity for adaptive stock selection

yan, W; 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
URI: http://discovery.ucl.ac.uk/id/eprint/1305006
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