Behavioural GP diversity for adaptive stock selection

  • Authors:
  • Wei Yan;Christopher D. Clack

  • Affiliations:
  • UCL, London, United Kingdom;UCL, London, United Kingdom

  • Venue:
  • Proceedings of the 11th Annual conference on Genetic and evolutionary computation
  • Year:
  • 2009

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Abstract

We present a new mechanism for preserving phenotypic behavioural diversity in Genetic Programming. We provide a real-world case study for hedge fund portfolio optimization, and experimental results on real-world data that indicate the importance of phenotypic behavioural diversity both in achieving higher fitness and in improving the robustness of the GP population for continuous learning.