Asset selection in global financial markets using genetic network programming

Victor Parque*, Shingo Mabu, Kotaro Hirasawa

*この研究の対応する著者

研究成果: Conference contribution

3 被引用数 (Scopus)

抄録

Asset selection is a challenging task in the complex global financial system, whose nature has highlighted the need to rethink conventional practices. The attractive and non-toxic assets must be kept on the eye so that our financial systems sustain building blocks in our economic systems. This paper presents an asset selection framework using Genetic Network Programming(GNP). GNP handles evolvable graph structures that prevent the size expansion for dynamic and complex environments, which in turn make it suitable for dealing with decision processes effectively under uncertainty such as partially observable Markov decision processes. Simulations using stocks, bonds and currencies from relevant financial markets in USA, Europe and Asia show the competitive advantages of the proposed method against relevant selection strategies in the finance literature.

本文言語English
ホスト出版物のタイトル2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010
ページ677-683
ページ数7
DOI
出版ステータスPublished - 2010
イベント2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010 - Istanbul, Turkey
継続期間: 2010 10月 102010 10月 13

出版物シリーズ

名前Conference Proceedings - IEEE International Conference on Systems, Man and Cybernetics
ISSN(印刷版)1062-922X

Other

Other2010 IEEE International Conference on Systems, Man and Cybernetics, SMC 2010
国/地域Turkey
CityIstanbul
Period10/10/1010/10/13

ASJC Scopus subject areas

  • 電子工学および電気工学
  • 制御およびシステム工学
  • 人間とコンピュータの相互作用

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