ALPS evaluation in financial portfolio optimisation

— Hornby’s Age-Layered Population Structure claims to reduce premature convergence in Evolutionary Algorithms. We provide the first evaluation of ALPS on a realworld problem — the evolution of non-linear factor models for financial portfolio optimisation. We incorporate ALPS into our GP system, coupled to an investment simulator, and provide a head-to-head comparison between ALPS GP and Standard GP. By investigating the performance of ALPS both during training and during out-of-sample validation, we provide empirical evidence of the benefits of ALPS; we show that it really does reduce convergence, and provides fitter individuals, in our problem domain. The ALPS GP system evolves non-linear factor models that out-perform not only the Standard GP system, but also the market index by a significant amount.

• Type: Conference
• Year: 2007
• Where: CEC
• Authors: Suneer Patel, Christopher D. Clack
• Keywords: ALPS, ALPS GP, Artificial Intelligence, CEC 2007, Non-linear Factor Models