%0 Conference Paper %1 1277384 %A Yan, Wei %A Clack, Christopher D. %B GECCO '07: Proceedings of the 9th annual conference on Genetic and evolutionary computation %C London %D 2007 %E Thierens, Dirk %E Beyer, Hans-Georg %E Bongard, Josh %E Branke, Jurgen %E Clark, John Andrew %E Cliff, Dave %E Congdon, Clare Bates %E Deb, Kalyanmoy %E Doerr, Benjamin %E Kovacs, Tim %E Kumar, Sanjeev %E Miller, Julian F. %E Moore, Jason %E Neumann, Frank %E Pelikan, Martin %E Poli, Riccardo %E Sastry, Kumara %E Stanley, Kenneth Owen %E Stutzle, Thomas %E Watson, Richard A %E Wegener, Ingo %I ACM Press %K Applications, Real-World adaptation, algorithms, diversity, dynamic environments, finance, genetic phenotype programming, %P 2234--2241 %T Evolving robust GP solutions for hedge fund stock selection in emerging markets %U http://doi.acm.org/10.1145/1276958.1277384 %V 2 %X Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. How can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore an approach that uses subsets of extreme environments during training.

@inproceedings{1277384, abstract = {Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. How can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore an approach that uses subsets of extreme environments during training.}, added-at = {2008-06-19T17:46:40.000+0200}, address = {London}, author = {Yan, Wei and Clack, Christopher D.}, biburl = {https://www.bibsonomy.org/bibtex/2cbebb4b5b268d0c4c2acb632ae25f5bb/brazovayeye}, booktitle = {GECCO '07: Proceedings of the 9th annual conference on Genetic and evolutionary computation}, editor = {Thierens, Dirk and Beyer, Hans-Georg and Bongard, Josh and Branke, Jurgen and Clark, John Andrew and Cliff, Dave and Congdon, Clare Bates and Deb, Kalyanmoy and Doerr, Benjamin and Kovacs, Tim and Kumar, Sanjeev and Miller, Julian F. and Moore, Jason and Neumann, Frank and Pelikan, Martin and Poli, Riccardo and Sastry, Kumara and Stanley, Kenneth Owen and Stutzle, Thomas and Watson, Richard A and Wegener, Ingo}, interhash = {0c1571300b9ef35981c6e2eff23f6f65}, intrahash = {cbebb4b5b268d0c4c2acb632ae25f5bb}, isbn13 = {978-1-59593-697-4}, keywords = {Applications, Real-World adaptation, algorithms, diversity, dynamic environments, finance, genetic phenotype programming,}, month = {7-11 July}, notes = {GECCO-2007 A joint meeting of the sixteenth international conference on genetic algorithms (ICGA-2007) and the twelfth annual genetic programming conference (GP-2007). ACM Order Number 910071}, organisation = {ACM SIGEVO (formerly ISGEC)}, pages = {2234--2241}, publisher = {ACM Press}, publisher_address = {New York, NY, USA}, timestamp = {2008-06-19T17:54:43.000+0200}, title = {Evolving robust {GP} solutions for hedge fund stock selection in emerging markets}, url = {http://doi.acm.org/10.1145/1276958.1277384}, volume = 2, year = 2007 }