Options
Objective function design in a grammatical evolutionary trading system
Author(s)
Date Issued
2010-07
Date Available
2011-01-21T15:10:31Z
Abstract
Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution to the problem of trading model induction and carry out a number of experiments to assess the effect of objective function design on the trading characteristics of the evolved strategies. The paper concludes with in and out-of-sample results, and indicates a number of avenues of future work.
Sponsorship
Science Foundation Ireland
Type of Material
Conference Publication
Publisher
IEEE Press
Copyright (Published Version)
2010 IEEE
Subject – LCSH
Evolutionary computation
Genetic algorithms
Genetic programming (Computer science)
Stocks
Web versions
Language
English
Status of Item
Peer reviewed
Journal
2010 IEEE Congress on Evolutionary Computation (CEC) [proceedings]
Conference Details
Congress on Evolutionary Computation, IEEE World Congress on Computational Intelligence, Barcelona, Spain, 18-23 July
ISBN
978-1-4244-6909-3
This item is made available under a Creative Commons License
File(s)
Loading...
Name
Bradley2010a.pdf
Size
1.18 MB
Format
Adobe PDF
Checksum (MD5)
f799b7c2b9f1f88c8766eea1e230f25b
Owning collection
Mapped collections