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A portfolio optimization model using Genetic Network Programming with control nodes
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DOI：10.1016/j.eswa.2009.02.049.png)
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Abstract
En 中文
Many evolutionary computation methods applied to the financial field have been reported. A new evolutionary method named Genetic Network Programming (GNP) has been developed and applied to the stock market recently. The efficient trading rules created by GNP has been confirmed in our previous research. In this paper a multi-brands portfolio optimization model based on Genetic Network Programming with control nodes is presented. This method makes use of the information from technical indices and candlestick chart. The proposed optimization model, consisting of technical analysis rules, are trained to generate trading advice. The experimental results on the Japanese stock market show that the proposed optimization system using GNP with control nodes method outperforms other traditional models in terms of both accuracy and efficiency. We also compared the experimental results of the proposed model with the conventional GNP based methods, GA and Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than these methods. (C) 2009 Elsevier Ltd. All rights reserved.
Keywords:
Portfolio optimization
Genetic Network Programming
Control node
Reinforcement learning
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