Genetic network programming with sarsa learning and its application to creating stock trading rules

Yan Chen*, Shingo Mabu, Kotaro Hirasawa, Jinglu Hu

*この研究の対応する著者

研究成果: Conference contribution

23 被引用数 (Scopus)

抄録

In this paper, trading rules on stock market using the Genetic Network Programming (GNP) with Sarsa learning is described. GNP is an evolutionary computation, which represents its solutions using graph structures and has some useful features inherently. It has been clarified that GNP works well especially in dynamic environments since GNP can create quite compact programs and has an implicit memory function. In this paper, GNP is applied to creating a stock trading model. There are three important points: The first important point is to combine GNP with Sarsa Learning which is one of the reinforcement learning algorithms. Evolution-based methods evolve their programs after task execution because they must calculate fitness values, while reinforcement learning can change programs during task execution, therefore the programs can be created efficiently. The second important point is that GNP uses candlestick chart and selects appropriate technical indices to judge the timing of the buying and selling stocks. The third important point is that sub-nodes are used in each node to determine appropriate actions (buying/selling) and to select appropriate stock price information depending on the situation. In the simulations, the trading model is trained using the stock prices of 16 brands in 2001, 2002 and 2003. Then the generalization ability is tested using the stock prices in 2004. From the simulation results, it is clarified that the trading rules of the proposed method obtain much higher profits than Buy & Hold method and its effectiveness has been confirmed.

本文言語English
ホスト出版物のタイトル2007 IEEE Congress on Evolutionary Computation, CEC 2007
ページ220-227
ページ数8
DOI
出版ステータスPublished - 2007 12 1
イベント2007 IEEE Congress on Evolutionary Computation, CEC 2007 - , Singapore
継続期間: 2007 9 252007 9 28

出版物シリーズ

名前2007 IEEE Congress on Evolutionary Computation, CEC 2007

Conference

Conference2007 IEEE Congress on Evolutionary Computation, CEC 2007
国/地域Singapore
Period07/9/2507/9/28

ASJC Scopus subject areas

  • 人工知能
  • ソフトウェア
  • 理論的コンピュータサイエンス

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