Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta

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	Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta
	Chen, Yan; Shi, Zhihui
刊名	JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS
	2016-05
卷号	20 期号:3 页码:484-491
关键词	portfolio beta genetic relation algorithm robust genetic network programming stock trading
ISSN号	1343-0130
英文摘要	In this paper, Robust Genetic Network Programming (R-GNP) for generating trading rules for stocks is described. R-GNP is a new evolutionary algorithm, where solutions are represented using graph structures. It has been clarified that R-GNP works well especially in dynamic environments. In the proposed hybrid model, R-GNP is applied to generating stock trading rules with variance of fitness values. The unique point is that the generalization ability of R-GNP is improved by using the robust fitness function, which consists of the fitness functions with the original data and a good number of correlated data. Generally speaking, the hybrid intelligent system consists of three steps: priority selection by the portfolio beta, optimization by the Genetic Relation Algorithm (GRA), and stock trading by R-GNP. In the simulations, the trading model is trained using the stock prices of 10 brands on the Tokyo Stock Exchange, and then the generalization ability is tested. From the simulation results, it is clarified that the trading rules created by the proposed R-GNP model obtain much higher profits than the traditional methods even in the world-wide financial crisis of 2007. Hence, its effectiveness has been confirmed.
WOS研究方向	Computer Science
语种	英语
出版者	FUJI TECHNOLOGY PRESS LTD
WOS记录号	WOS:000377526800013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1295]
专题	上海财经大学
通讯作者	Chen, Yan
作者单位	Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Chen, Yan,Shi, Zhihui. Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta[J]. JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS,2016,20(3):484-491.
APA	Chen, Yan,&Shi, Zhihui.(2016).Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta.JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS,20(3),484-491.
MLA	Chen, Yan,et al."Generating Trading Rules for Stock Markets Using Robust Genetic Network Programming and Portfolio Beta".JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS 20.3(2016):484-491.