Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms

Modelling and Trading the Greek Stock Market with Gene Expression and Genetic Programing Algorithms

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Article ID: iaor201523653
Volume: 33
Issue: 8
Start Page Number: 596
End Page Number: 610
Publication Date: Dec 2014
Journal: Journal of Forecasting
Authors: , , ,
Keywords: heuristics: genetic algorithms
Abstract:

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well‐known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter.

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