Evolving market index trading rules using grammatical evolution

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 2037, Issue , 2001, Pages 343-352

  O’neill, Michael ^b   Brabazon, Anthony ^a   Ryan, Conor ^b   Collins, J J ^b  

^a UNIVERSITY COLLEGE DUBLIN   (Ireland)

^b UNIVERSITY OF LIMERICK   (Ireland)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOMATIC PROGRAMMING; COMMERCE;

EVOLUTIONARY AUTOMATIC PROGRAMMING; GRAMMATICAL EVOLUTION; INDEX VALUES; STOCK INDICES; TECHNICAL TRADING RULES; TRADING RULES;

FINANCIAL MARKETS;

EID: 84958047647     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/3-540-45365-2_36     Document Type: Conference Paper

References (18)

1. O’Neill M., Ryan C. (2001) Grammatical Evolution. IEEE Trans. Evolutionary Computation. 2001.
2. Ryan C., Collins J.J., O’Neill M. (1998). Grammatical Evolution: Evolving Programs for an Arbitrary Language. Lecture Notes in Computer Science 1391, Proceedings of the First European Workshop on Genetic Programming, pages 83-95. Springer-Verlag.
3. Murphy, John J. (1999). Technical Analysis of the Financial Markets, New York: New York Institute of Finance.
4. Brock, W., Lakonishok, J. and LeBaron B. (1992). ’Simple Technical Trading Rules and the Stochastic Properties of Stock Returns’, Journal of Finance, 47(5):1731-1764.
5. Hong, H., Lim, T. and Stein, J. (1999). ’Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies’, Research Paper No. 1490, Graduate School of Business, Stanford University.
6. Chan, L. K. C., Jegadeesh, N. and Lakonishok, J. (1996). ’Momentum strategies’, Journal of Finance, Vol. 51, No. 5, pp. 1681-1714.
7. Dissanaike, G. (1997). ’Do stock market investors overreact?’, Journal of Business Finance & Accounting (UK), Vol. 24, No.1, pp. 27-50.
8. Cross, F. (1973). ’The Behaviour of Stock prices on Friday and Monday’, Financial Analysts’ Journal, Vol. 29(6), pp.67-74.
9. DeBondt, W. and Thaler, R. (1987). ’Further Evidence on Investor Overreaction and Stock Market Seasonality’, Journal of Finance, Vol. 42(3):pp.557-581.
10. Iba H. and Nikolaev N. (2000). ’Genetic Programming Polynomial Models of Financial Data Series’, In Proc. of CEC 2000, pp. 1459-1466, IEEE Press.
11. Allen, F., Karjalainen, R. (1999) Using genetic algorithms to find technical trading rules. Journal of Financial Economics, 51, pp. 245-271, 1999.
12. Colin, A. (1994). ’Genetic Algorithms for Financial Modelling’, in Guido Deboeck (Editor) (1994). Trading on the edge: neural, genetic and fuzzy systems for chaotic and financial markets, New York: John Wiley & Sons Inc.
13. Bauer R. (1994). Genetic Algorithms and Investment Strategies, New York: John Wiley & Sons Inc.
14. Neely, C., Weller P. and Dittmar, R. (1997). ’Is technical analysis in the foreign exchange market profitable? A genetic programming approach", Journal of Financial and Quantitative Analysis, Vol. 32, No. 4, pp. 405-428.
15. Deboeck G. (1994). ’Using GAs to optimise a trading system’, in Guido Deboeck (Editor) (1994). Trading on the edge: neural, genetic and fuzzy systems for chaotic and financial markets, New York: John Wiley & Sons Inc.
16. Brown, S., Goetzmann W. and Kumar A. (1998). ’The Dow Theory: William Peter Hamilton’s Track Record Reconsidered’, Journal of Finance, 53(4):1311-1333.
17. Pring, M. (1991). Technical analysis explained: the successful investor’s guide to spotting investment trends and turning points, New York: Mc Graw-Hill Inc.
18. Koza, J. (1992). Genetic Programming. MIT Press.