Prediction of Interday Stock Prices Using Developmental and Linear Genetic Programming

Authors:
Garnett Wilson;Wolfgang Banzhaf
Affiliations:
Memorial University of Newfoundland, St. John`s, Canada;Memorial University of Newfoundland, St. John`s, Canada
Venue:
EvoWorkshops '09 Proceedings of the EvoWorkshops 2009 on Applications of Evolutionary Computing: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoGAMES, EvoHOT, EvoIASP, EvoINTERACTION, EvoMUSART, EvoNUM, EvoSTOC, EvoTRANSLOG
Year:
2009

Citing 5
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Abstract

A developmental co-evolutionary genetic programming approach (PAM DGP) is compared to a standard linear genetic programming (LGP) implementation for trading of stocks across market sectors. Both implementations were found to be impressively robust to market fluctuations while reacting efficiently to opportunities for profit, where PAM DGP proved slightly more reactive to market changes than LGP. PAM DGP outperformed, or was competitive with, LGP for all stocks tested. Both implementations had very impressive accuracy in choosing both profitable buy trades and sells that prevented losses, where this occurred in the context of moderately active trading for all stocks. The algorithms also appropriately maintained maximal investment in order to profit from sustained market upswings.