Name
Abstract | ||
|---|---|---|
•GP is applied to learn trading rules that are used to automatically manage a portfolio of stocks.•A new Random Sampling method is used to increase the robustness of the strategies evolved.•The new Random Sampling method produces strategies able to withstand extreme market environments.•The new Random Sampling method produces solutions that perform during out-of-sample testing similarly as during training.•The results are based on testing a portfolio of 21 Spanish equities. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1016/j.eswa.2015.10.040 | Expert Systems with Applications |
Keywords | Field | DocType |
Genetic programming,Algorithmic trading,Portfolio management,Trading rule,Finance | Trading strategy,Econometrics,Actuarial science,Computer science,Project portfolio management,Capital asset pricing model,Portfolio,Artificial intelligence,Algorithmic trading,Technical analysis,Investment strategy,Rate of return on a portfolio,Machine learning | Journal |
Volume | Issue | ISSN |
46 | C | 0957-4174 |
Citations | PageRank | References |
13 | 0.72 | 13 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| José Manuel Berutich | 1 | 15 | 1.13 |
| Francisco López | 2 | 15 | 1.13 |
| Francisco Luna | 3 | 144 | 12.40 |
| David Quintana | 4 | 76 | 12.29 |