Genetic Algorithms and Genetic Programming in Computational Finance
After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a sys
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GENETIC ALGORITHMS AND GENETIC PROGRAMMING IN COMPUTATIONAL FINANCE
Edited by
SHU-HENG C H E N Department of Economics National Chengchi University
Springer Science+Business Media, LLC
Library of Congress Cataloging-in-Publication Data Genetic algorithms and genetic programming in computational finance/edited by Shu-Heng Chen. p.cm. "Ten chapters...are based on a selection of papers presented at the 6th International Conference of the Society for Computational Economics on Computing in Economics and Finance, which was held at Universität Pompeu Fabra, Barcelona, Catalonia, Spain on July 6-8, 2000"--Pref. Includes bibliographical references and index. ISBN 978-1-4613-5262-4 ISBN 978-1-4615-0835-9 (eBook) DOI 10.1007/978-1-4615-0835-9 1. Finance—Mathematical models. 2. Genetic algorithms. 3. Genetic programming (Computer science) 4. Stocks-Prices-Mathematical models. I. Chen, Shu-Heng, 1959II. International Conference of the Society for Computational Economics on Computing in Economics and Finance (6th:2000 : Universität Pompeu Fabra) HG106.G464 2002 332' .01 '5118-dc21
2002070058
Copyright ® 2002 by Springer Science+Business Media New York Originally published by Kluwer Academic Publishers in 2002 Softcover reprint of the hardcover 1st edition 2002 All rights reserved. No part of this work may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, microfilming, recording, or otherwise, without written permission from the Publisher, with the exception of any material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Permissions for books published in Europe: [email protected] Permissions for books published in the United States of America: [email protected] Printed on acid-free paper.
Contents
List of Figures
ix
List of Tables
xv
Preface
xix
1
An Overview Shu-Heng Chen Part I
Introduction
2
Genetic Algorithms in Economics and Finance Adrian E. Drake and Robert E. Marks
3 Genetic Programming: A TUtorial Shu-Heng Chen, Tzu- Wen Kuo, and Yuh-Pyng Shieh Part II
1
29
55
Forecasting
4
GP and the Predictive Power of Internet Message Traffic James D. Thomas and Katia Sycara
81
5 Genetic Programming of Polynomial Models for Financial Forecasting Nikolay Y. Nikolaev and Hitoshi Iba
103
6 NXCS: Hybrid Approach to Stock Indexes Forecasting Giuliano Armano, Michele Marchesi, and Andrea Murru
125
GA AND GP IN COMPUTATIONAL FINANCE
VI
Part III
Trading
7 EDDIE for Financial Forecasting Edward P. K. Tsang and Jim Li
8 Forecasting Market Indices Using Evolutionary Automatic Programming Michael O'Neill, Anthony Brabazon, and Conor Ryan 9 Genetic Fuzzy Expert Trading System for NASDAQ Stock Market Timing Sze Sing Lam, Kai Pui Lam, and Hoi Shing Ng
Part IV
161
175
197
Miscellaneous Applications Domains
10
Portfolio Selection and Management Juan G. L. Lazo, Marco A. C. Pacheco, and Marley M. R. Vellasco
221
11 Intelligent Cash F
