Trading rules on stock markets using genetic network programming with reinforcement learning and importance index

Shingo Mabu, Kotaro Hirasawa, Takayuki Furuzuki

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

Genetic Network Programming (GNP) is an evolutionary computation which represents its solutions using graph structures. Since GNP can create quite compact programs and has an implicit memory function, it has been clarified that GNP works well especially in dynamic environments. In addition, a study on creating trading rules on stock markets using GNP with Importance Index (GNP-IMX) has been done. IMX is a new element which is a criterion for decision making. In this paper, we combined GNP-IMX with Actor-Critic (GNP-IMX&AC) and create trading rules on stock markets. Evolution-based methods evolve their programs after enough period of time because they must calculate fitness values, however reinforcement learning can change programs during the period, therefore the trading rules can be created efficiently. In the simulation, the proposed method is trained using the stock prices of 10 brands in 2002 and 2003. Then the generalization ability is tested using the stock prices in 2004. The simulation results show that the proposed method can obtain larger profits than GNP-IMX without AC and Buy&Hold.

Original languageEnglish
Pages (from-to)1061-1067+12
JournalIEEJ Transactions on Electronics, Information and Systems
Volume127
Issue number7
DOIs
Publication statusPublished - 2007 Jan 1

Keywords

  • Evolutionary computation
  • Genetic netowork programming
  • Reinforcement learning
  • Stock trading model

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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