UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

GP age-layer and crossover effects in bid-offer spread prediction

Willis, A; Patel, S; Clack, CD; (2008) GP age-layer and crossover effects in bid-offer spread prediction. In: Keijzer, M, (ed.) Proceedings of the 10th annual conference on Genetic and evolutionary computation. (pp. pp. 1665-1672). ACM: Association for Computing Machinery: Atlanta, GA, USA. Green open access

[thumbnail of WillisClackGECCO08.pdf]
Preview
Text
WillisClackGECCO08.pdf - Accepted Version

Download (255kB) | Preview

Abstract

The bid-offer spread on equity options is a key source of profits for market makers, and a key cost for those trading in the options. Spreads are influenced by dynamic market factors, but is there also a predictable element and can Genetic Programming be used for such prediction? We investigate a standard GP approach and two optimisations . age-layering and a novel crossover operator. If both are beneficial as independent optimisations, will they be mutually beneficial when applied simultaneously? Our experiments show a degree of success in predicting spreads, we demonstrate significant benefits for each optimisation technique used individually, and we show that when both are used together significant detrimental over-fitting can occur.

Type: Proceedings paper
Title: GP age-layer and crossover effects in bid-offer spread prediction
Event: GECCO '08
ISBN-13: 9781605581309
Open access status: An open access version is available from UCL Discovery
DOI: 10.1145/1389095.1389407
Publisher version: https://doi.org/10.1145/1389095.1389407
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: GP, Finance, Options, Spreads, Age Layers, ALPS, Crossover
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/10087091
Downloads since deposit
0Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item