Behavioural GP diversity for dynamic environments: an application in hedge fund investment

We present a new mechanism for preserving phenotypic behavioural diversity in a Genetic Programming application for hedge fund portfolio optimization, and provide experimental results on real-world data that indicate the importance of phenotypic behavioural diversity both in achieving higher fitness and in improving the adaptability of the GP population for continuous learning. Categories and Subject Descriptors I.2.M [Artificial Intelligence]: Miscellaneous General Terms Algorithms, Experimentation Keywords Genetic Programming, Diversity, Phenotype, Finance, Adaptation, Dynamic Environment

• Type: Conference
• Year: 2006
• Where: GECCO
• Authors: Wei Yan, Christopher D. Clack
• Keywords: GECCO 2006, Genetic Programming, Genetic Programming Application, Optimization, Phenotypic Behavioural Diversity