文章基本信息

标题：Neighborhood Evaluation in Acquiring Stock Trading Strategy Using Genetic Algorithms
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作者：Kazuhiro Matsui ; Haruo Sato
期刊名称：International Journal of Computer Information Systems and Industrial Management Applications
印刷版ISSN：2150-7988
电子版ISSN：2150-7988
出版年度：2012
卷号：4
页码：366-373
出版社：Machine Intelligence Research Labs (MIR Labs)
摘要：We propose a new method to evaluate individ- uals in genetic algorithms (GAs) for algorithmic trading in stock markets. In our previous work, we presented an effective method to acquire trading strategy in stock markets. However, it had a tendency of overfitting in genetic searches. Our new ap- proach, namely neighborhood evaluation, involves evaluation for neighboring points of genetic individuals in fitness landscape as well as themselves. Empirical results for trading simulation in the first section of the Tokyo Stock Exchange for recent eleven years show the effectiveness of the neighborhood evaluation for reducing the overfitting tendency. We discuss suitable forms of neighborhoods on the performance of the genetic searches. We also propose a new method to reduce the computational cost of our method, because the neighborhood evaluation has a disad- vantage on the cost.
关键词：genetic algorithm; algorithmic trading; neighbor- ; hood evaluation; overfitting; fitness landscape