Genetic Programming for Quantitative Stock Selection

Abstract:     
We provide an overview of using genetic programming (GP) to model stock returns. Our models employ GP terminals (model decision variables) that are financial factors identified by experts. We describe the multi-stage training, testing and validation process that we have integrated with GP selection to be appropriate for financial panel data and how the GP solutions are situated within a portfolio selection strategy. We share our experience with the pros and cons of evolved linear and non-linear models, and outline how we have used GP extensions to balance different objectives of portfolio managers and control the complexity of evolved models.

Keywords: Genetic Programming, Genetic Algorithm, Stock Selection,Quantitative Asset Management, Symbolic Regression

JEL Classification: J1, I2

working papers series