Parallel genetic programming: an application to trading models evolution

Authors:
Mouloud Oussaidène;Bastien Chopard;Olivier V. Pictet;Marco Tomassini
Affiliations:
CUI, Université de Genève, Genève, Switzerland;CUI, Université de Genève, Genève, Switzerland;Olsen&Associates Research Institute for Applied Economics, Zurich, Switzerland;CSCS, Manno and LSL, EPFL, Lausanne-Ecublens, Switzerland
Venue:
GECCO '96 Proceedings of the 1st annual conference on Genetic and evolutionary computation
Year:
1996

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Abstract

We present a parallel implementation of genetic programming on distributed memory machines. To overcome the time overhead due to uneven load associated with program evaluation, we propose and evaluate a non-preemptive dynamic scheduling algorithm for load balancing. The system is applied to the evolution of trading model strategies which is a compute-intensive application. Our results show that reasonable trading models can be inferred and that the system can produce a nearly linear speedup for that application.