ALPS evaluation in financial portfolio optimisation.
2007 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-10, PROCEEDINGS.
(pp. 813 - 819).
Hornby's Age-Layered Population Structure claims to reduce premature convergence in Evolutionary Algorithms. We provide the first evaluation of ALPS on a real-world problem - the evolution of non-linear factor models for financial portfolio optimisation. We incorporate ALPS into our GP system, coupled to an investment simulator, and provide a head-to-head comparison between ALPS GP and Standard GP.By investigating the performance of ALPS both during training and during out-of-sample validation, we provide empirical evidence of the benefits of ALPS; we show that it really does reduce convergence, and provides fitter individuals, in our problem domain. The ALPS GP system evolves non-linear factor models that out-perform not only the Standard GP system, but also the market index by a significant amount.
|Title:||ALPS evaluation in financial portfolio optimisation|
|Event:||IEEE Congress on Evolutionary Computation|
|Dates:||2007-09-25 - 2007-09-28|
|Open access status:||An open access version is available from UCL Discovery|
|UCL classification:||UCL > School of BEAMS > Faculty of Engineering Science > Computer Science|
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