Asset selection in global financial markets using genetic network programming

Victor Parque, Shingo Mabu, Kotaro Hirasawa

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)

Abstract

Asset selection is a challenging task in the complex global financial system, whose nature has highlighted the need to rethink conventional practices. The attractive and non-toxic assets must be kept on the eye so that our financial systems sustain building blocks in our economic systems. This paper presents an asset selection framework using Genetic Network Programming(GNP). GNP handles evolvable graph structures that prevent the size expansion for dynamic and complex environments, which in turn make it suitable for dealing with decision processes effectively under uncertainty such as partially observable Markov decision processes. Simulations using stocks, bonds and currencies from relevant financial markets in USA, Europe and Asia show the competitive advantages of the proposed method against relevant selection strategies in the finance literature.

Original languageEnglish
Title of host publication2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010
Pages677-683
Number of pages7
DOIs
Publication statusPublished - 2010 Dec 1
Event2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010 - Istanbul, Turkey
Duration: 2010 Oct 102010 Oct 13

Publication series

NameConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
ISSN (Print)1062-922X

Other

Other2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010
CountryTurkey
CityIstanbul
Period10/10/1010/10/13

Keywords

  • Asset selection
  • Risk pricing
  • Value and growth

ASJC Scopus subject areas

  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Human-Computer Interaction

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  • Cite this

    Parque, V., Mabu, S., & Hirasawa, K. (2010). Asset selection in global financial markets using genetic network programming. In 2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010 (pp. 677-683). [5641828] (Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics). https://doi.org/10.1109/ICSMC.2010.5641828