Genetic network programming with changing structures for a novel stock selection model

Victor Parque*, Shingo Mabu, Kotaro Hirasawa

*この研究の対応する著者

研究成果: Conference contribution

5 被引用数 (Scopus)

抄録

Stock selection involves the continuous quest for the margin of safety, or a favorable difference between the stock price and its intrinsic value. Although this variable might not be quantified with exact precision, it may be approximated through the underlying relationships in financial markets and the real economy. We propose Genetic Network Programming with changing structures(GNP-cs), a novel evolutionary based algorithm to approximate these relationships through graph networks, and build asset selection models to identify the prospective stocks in the context of changing environments. GNP-cs uses functionally distributed systems to monitor the change of the economic environment and execute the strategy for stock selection adaptively. The comparison shows that the proposed scheme outperforms the standard stock selection styles using the stocks listed in the Russell 3000 Index. This paper suggests that the use of evolutionary computing techniques is an excellent tool to tackle the stock selection problem, whose advantages imply the usefulness to manage the risk and safeguard investments.

本文言語English
ホスト出版物のタイトルGenetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication
ページ239-240
ページ数2
DOI
出版ステータスPublished - 2011 8月 26
イベント13th Annual Genetic and Evolutionary Computation Conference, GECCO'11 - Dublin, Ireland
継続期間: 2011 7月 122011 7月 16

出版物シリーズ

名前Genetic and Evolutionary Computation Conference, GECCO'11 - Companion Publication

Other

Other13th Annual Genetic and Evolutionary Computation Conference, GECCO'11
国/地域Ireland
CityDublin
Period11/7/1211/7/16

ASJC Scopus subject areas

  • 計算理論と計算数学
  • 理論的コンピュータサイエンス

フィンガープリント

「Genetic network programming with changing structures for a novel stock selection model」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル