A genetic network programming with learning approach for enhanced stock trading model

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@Article{Chen200912537,

• author = "Yan Chen and Shingo Mabu and Kaoru Shimada and Kotaro Hirasawa",
• title = "A genetic network programming with learning approach for enhanced stock trading model",
• journal = "Expert Systems with Applications",
• volume = "36",
• number = "10",
• pages = "12537--12546",
• year = "2009",
• ISSN = "0957-4174",
• DOI = "doi:10.1016/j.eswa.2009.05.054",
• URL = "http://www.sciencedirect.com/science/article/B6V03-4WC113D-2/2/a6c6277183e3b22cc3cc50ba71d7062f",
• keywords = "genetic algorithms, genetic programming, Genetic Network Programming, Sarsa Learning, Stock trading model, Technical Index, Candlestick Chart",
• abstract = "In this paper, an enhancement of stock trading model using Genetic Network Programming (GNP) with Sarsa Learning is described. There are three important points in this paper: First, we use GNP with Sarsa Learning as the basic algorithm while both Technical Indices and Candlestick Charts are introduced for efficient stock trading decision-making. In order to create more efficient judgement functions to judge the current stock price appropriately, Importance Index (IMX) has been proposed to tell GNP the timing of buying and selling stocks. Second, to improve the performance of the proposed GNP-Sarsa algorithm, we proposed a new method that can learn the appropriate function describing the relation between the value of each technical index and the value of the IMX. This is an important point that devotes to the enhancement of the GNP-Sarsa algorithm. The third point is that in order to create more efficient judgment functions, sub-nodes are introduced in each node to select appropriate stock price information depending on the situations and to determine appropriate actions (buying/selling). To confirm the effectiveness of the proposed method, we carried out the simulation and compared the results of GNP-Sarsa with other methods like GNP with Actor Critic, GNP with Candlestick Chart, GA and Buy&Hold method. The results shows that the stock trading model using GNP-Sarsa outperforms all the other methods.",

}

Genetic Programming entries for Yan Chen Shingo Mabu Kaoru Shimada Kotaro Hirasawa

Citations