Using genetic algorithms to find technical trading rules

Alexander, 1961, Price movements in speculative markets: trends or random walks, Industrial Management Review, 2, 7 Alexander, 1964, Price movements in speculative markets, 2, 338 Bauer, 1994 Beasley, 1993, An overview of genetic algorithms: part I, fundamentals, University Computing, 15, 58 Booker, 1989, Classifier systems and genetic algorithms, Artificial Intelligence, 40, 235, 10.1016/0004-3702(89)90050-7 Brock, 1992, Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance, 47, 1731, 10.1111/j.1540-6261.1992.tb04681.x Dorsey, 1995, Genetic algorithms for estimation problems with multiple optima, nondifferentiability, and other irregular features, Journal of Business and Economic Statistics, 13, 53 Fama, 1970, Efficient capital markets: a review of theory and empirical work, Journal of Finance, 25, 383, 10.2307/2325486 Fama, 1966, Filter rules and stock market trading, Security prices, 39, 226 Fisher, 1966, Some new stock-market indexes, Journal of Business, 39, 191, 10.1086/294848 Fogel, 1966 French, 1986, Stock return variances, Journal of Financial Economics, 17, 5, 10.1016/0304-405X(86)90004-8 French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 Gershenfeld, N.A., Weigend, A.S., 1993. The future of time series: learning and understanding. In: Weigend, A.S., Gershenfeld, N.A. (Eds.), Time Series Prediction: Forecasting the Future and Understanding the Past, Santa Fe Institute Studies in the Sciences of Complexity, Proceedings vol. XV. Addison–Wesley, Reading, pp. 1–70. Goldberg, D.E., 1989. Genetic Algorithms in Search, Optimization, and Machine Learning. Addison–Wesley, Reading. Holland, 1962, Outline for a logical theory of adaptive systems, Journal of the Association for Computing Machinery, 3, 297, 10.1145/321127.321128 Holland, 1975 Holland, 1976, Adaptation, 4, 263 Holland, 1980, Adaptive algorithms for discovering and using general patterns in growing knowledge-bases. International Journal of Policy Analysis and Information Systems, 4, 217 Koza, 1992 Lo, 1990, An econometric analysis of nonsynchronous trading, Journal of Econometrics, 45, 181, 10.1016/0304-4076(90)90098-E Luskin, 1987 Marimon, 1990, Money as a medium of exchange in an economy with artificially intelligent agents, Journal of Economic Dynamics and Control, 14, 329, 10.1016/0165-1889(90)90025-C Merton, 1980, On estimating the expected return on the market: an exploratory investigation, Journal of Financial Economics, 8, 323, 10.1016/0304-405X(80)90007-0 Neftci, S.N., 1991. Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory: a study of `technical analysis'. Journal of Business 64, 540–571. Rechenberg, 1973 Schwefel, 1981 Sweeney, 1988, Some new filter rule tests, Journal of Financial and Quantitative Analysis, 23, 285, 10.2307/2331068 Syswerda, G., 1989. Uniform crossover in genetic algorithms. In: Schaffer, D.J. (Ed.), Proceedings of the Third International Conference on Genetic Algorithms. Morgan Kaufmann, San Mateo, pp. 2–9. Vose, 1991, Generalizing the notion of a schema in genetic algorithms, Artificial Intelligence, 50, 385, 10.1016/0004-3702(91)90019-G Whitley, D., 1989. The GENITOR algorithm and selection pressure: why rank-based allocation of reproductive trials is best. In: Schaffer, D.J. (Ed.), Proceedings of the Third International Conference on Genetic Algorithms. Morgan Kaufmann, San Mateo, pp. 116–121.