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

Behavioural GP diversity for dynamic environments: An application in hedge fund investment

Yan, W; Clack, CD; (2006) Behavioural GP diversity for dynamic environments: An application in hedge fund investment. In: Keijzer, M, (ed.) Proceedings of the 8th annual conference on Genetic and evolutionary computation. (pp. 1817-+). ACM: Association for Computing Machinery: Seattle, WA, USA. Green open access

[img]
Preview
Text
fp194-yan.pdf - Accepted version

Download (730kB) | Preview

Abstract

We present a new mechanism for preserving phenotypic behavioural diversity in a Genetic Programming application for hedge fund portfolio optimization, and provide experimental results on real-world data that indicate the importance of phenotypic behavioural diversity both in achieving higher fitness and in improving the adaptability of the GP population for continuous learning.

Type: Proceedings paper
Title: Behavioural GP diversity for dynamic environments: An application in hedge fund investment
Event: 8th Annual Genetic and Evolutionary Computation Conference
Location: Seattle, WA
Dates: 08 July 2006 - 12 July 2006
ISBN-13: 978-1-59593-186-3
Open access status: An open access version is available from UCL Discovery
DOI: 10.1145/1143997
Publisher version: http://dx.doi.org/10.1145/1143997
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, Adaptation, 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/10087111
Downloads since deposit
12Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item