@inproceedings{1f962ce2840a47cab91b432c6db53d60,
title = "Optimization of trading rules for the spanish stock market by genetic programming",
abstract = "This paper deals with the development of a method for generating input and output signals in the Spanish stock market. It is based on the application of set of simple trading rules optimized by genetic programming. To this aim we use the HeuristicLab software. To evaluate the performance of our method we make a comparison with other traditional methods such as Buy \& Hold and Simple Moving Averages Crossover. We study three different market scenarios: bull market, bear market and sideways market. Empirical test series show that market global behavior has a great influence on the results of each method and that strategies based on genetic programming perform best in the sideways market.",
keywords = "Genetic programming, Market tendencies, Optimization, Stock exchange markets, Trading rules",
author = "Sergio Luengo and Stephan Winkler and Barrero, \{David F.\} and Bonifacio Casta{\~n}o",
year = "2015",
doi = "10.1007/978-3-319-19066-2\_60",
language = "English",
isbn = "9783319190655",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer",
pages = "623--634",
editor = "Chang-Hwan Lee and Yongdai Kim and Kwon, \{Young Sig\} and Juntae Kim and Moonis Ali",
booktitle = "Current Approaches in Applied Artificial Intelligence - 28th International Conference on Industrial, Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2015, Proceedings",
address = "Germany",
note = "28th International Conference on Industrial, Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2015 ; Conference date: 10-06-2015 Through 12-06-2015",
}