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GP Forecasts of Stock Prices for Profitable Trading

  • Mahmoud Kaboudan
Part of the Studies in Fuzziness and Soft Computing book series (STUDFUZZ, volume 100)

Abstract

This chapter documents how GP forecasting of stock prices used to execute a single-day-trading-strategy (or SDTS) improves trading returns. The strategy mandates holding no positions overnight to minimize risk and daily trading decisions are based on forecasts of daily high and low stock prices. For comparison, two methods produce the price forecasts. Genetically evolved models produce one. The other is a naive forecast where today’s actual price is used as tomorrow’s forecast. Trading decisions tested on a small sample of four stocks over a period of twenty days produced higher returns for decisions based on the GP price forecasts.

Keywords

Mean Square Error Genetic Program Stock Price Stock Return Forecast Error 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Mahmoud Kaboudan
    • 1
  1. 1.Management Science & Information SystemsUSA

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