Behavioural GP diversity for dynamic environments: an application in hedge fund investment

  • Authors:
  • Wei Yan;Christopher D. Clack

  • Affiliations:
  • University College London, London;University College London, London

  • Venue:
  • Proceedings of the 8th annual conference on Genetic and evolutionary computation
  • Year:
  • 2006

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Abstract

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