Diverse committees vote for dependable profits

  • Authors:
  • Wei Yan;Christopher D. Clack

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

  • Venue:
  • Proceedings of the 9th annual conference on Genetic and evolutionary computation
  • Year:
  • 2007

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Abstract

Stock selection for hedge fund portfolios is a challenging problem for Genetic Programming (GP) because the markets (the environment in which the GP solution must survive) are dynamic, unpredictable and unforgiving. How can GP be improved so that solutions are produced that are robust to non-trivial changes in the environment? We explore an approach that uses a voting committee of GP individualswith differing phenotypic behaviour.