Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of International Financial Markets, … 33 (2014) C, pp. 299-316
We employ a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to develop trading rules based on a survival of the fittest principle. Employing returns data for the Russell 1000, Russell 2000 and Russell 3000 indices the STGP method produces greater...