An empirical study of Genetic Programming generated trading rules in computerized stock trading service system
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gp-bibliography.bib Revision:1.7964
- @InProceedings{Mallick:2008:ICSSSM,
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author = "Devayan Mallick and Vincent C. S. Lee and
Yew Soon Ong",
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title = "An empirical study of Genetic Programming generated
trading rules in computerized stock trading service
system",
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booktitle = "International Conference on Service Systems and
Service Management",
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year = "2008",
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month = "30 " # jun # " 2008-2 " # jul # " 2008",
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pages = "1--6",
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keywords = "genetic algorithms, genetic programming, computerized
stock trading service system, financial market, genetic
programming based trading rules, statistical analysis,
stock market, electronic trading, statistical analysis,
stock markets",
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address = "Melbourne, Australia",
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isbn13 = "978-1-4244-1671-4",
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DOI = "doi:10.1109/ICSSSM.2008.4598507",
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abstract = "Technical analysis is aimed at devising trading rules
capable of exploiting short-term fluctuations on the
financial markets. The application of genetic
programming (GP) as a means to automatically generate
such trading rules on the stock markets has been
studied. Computational results, based on historical
pricing and transaction volume data, are reported for
the thirty component stocks of the Dow Jones Industrial
Average index. Statistical evidence shows that for the
stocks that were studied, the use of GP based trading
rules ensures a positive dollar return in all market
scenarios. The performance of the GP based trading
rules was also evaluated against the performance of the
popularly used MACD technical indicator. In general, GP
based trading rules offer greater returns over the
simple buy and hold approach than the MACD trading
signal.",
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notes = "Also known as \cite{4598507}",
- }
Genetic Programming entries for
Devayan Mallick
Vincent Cheng-Siong Lee
Yew-Soon Ong
Citations