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Behavioural GP diversity for adaptive stock selection

Yan, W; Clack, CD; (2009) Behavioural GP diversity for adaptive stock selection. In: Rothlauf, F, (ed.) Proceedings of the 11th Annual conference on Genetic and evolutionary computation. (pp. pp. 1641-1648). ACM: Association for Computing Machinery: Montréal QC, Canada. Green open access

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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. Copyright 2009 ACM.

Type: Proceedings paper
Title: Behavioural GP diversity for adaptive stock selection
Event: GECCO’09
ISBN-13: 9781605583259
Open access status: An open access version is available from UCL Discovery
DOI: 10.1145/1569901.1570120
Publisher version: https://doi.org/10.1145/1569901.1570120
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Genetic Programming, Diversity, Phenotype, Finance, Robustness, Dynamic Environment
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10087087
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