Asset selection in global financial markets using genetic network programming

Victor Parque Tenorio, 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 publicationConference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
    Pages677-683
    Number of pages7
    DOIs
    Publication statusPublished - 2010
    Event2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010 - Istanbul, Turkey
    Duration: 2010 Oct 102010 Oct 13

    Other

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

    Fingerprint

    Finance
    Economics
    Financial markets
    Uncertainty

    Keywords

    • Asset selection
    • Risk pricing
    • Value and growth

    ASJC Scopus subject areas

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

    Cite this

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

    Asset selection in global financial markets using genetic network programming. / Parque Tenorio, Victor; Mabu, Shingo; Hirasawa, Kotaro.

    Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2010. p. 677-683 5641828.

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

    Parque Tenorio, V, Mabu, S & Hirasawa, K 2010, Asset selection in global financial markets using genetic network programming. in Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics., 5641828, pp. 677-683, 2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010, Istanbul, Turkey, 10/10/10. https://doi.org/10.1109/ICSMC.2010.5641828
    Parque Tenorio V, Mabu S, Hirasawa K. Asset selection in global financial markets using genetic network programming. In Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2010. p. 677-683. 5641828 https://doi.org/10.1109/ICSMC.2010.5641828
    Parque Tenorio, Victor ; Mabu, Shingo ; Hirasawa, Kotaro. / Asset selection in global financial markets using genetic network programming. Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics. 2010. pp. 677-683
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