This paper proposes a graph-based evolutionary algorithm called Genetic Network Programming (GNP). Our goal is to develop GNP, which can deal with dynamic environments efficiently and effectively, based on the distinguished expression ability of the graph (network) structure. The characteristics of GNP are as follows. 1) GNP programs are composed of a number of nodes which execute simple judgment/processing, and these nodes are connected by directed links to each other. 2) The graph structure enables GNP to re-use nodes, thus the structure can be very compact. 3) The node transition of GNP is executed according to its node connections without any terminal nodes, thus the past history of the node transition affects the current node to be used and this characteristic works as an implicit memory function. These structural characteristics are useful for dealing with dynamic environments. Furthermore, we propose an extended algorithm, “GNP with Reinforcement Learning (GNPRL)” which combines evolution and reinforcement learning in order to create effective graph structures and obtain better results in dynamic environments. In this paper, we applied GNP to the problem of determining agents' behavior to evaluate its effectiveness. Tileworld was used as the simulation environment. The results show some advantages for GNP over conventional methods.

A Graph-Based Evolutionary Algorithm: Genetic Network Programming (GNP) and Its Extension Using Reinforcement Learning

Multiagent Systems with Symbiotic Learning and Evolution (Masbiole) has been proposed and studied, which is a new methodology of Multiagent Systems (MAS) based on symbiosis in the ecosystem. Masbiole employs a method of symbiotic learning and evolution where agents can learn or evolve according to their symbiotic relations toward others, i.e., considering the benefits/losses of both itself and an opponent. As a result, Masbiole can escape from Nash Equilibria and obtain better performances than conventional MAS where agents consider only their own benefits. This paper focuses on the evolutionary model of Masbiole, and its characteristics are examined especially with an emphasis on the behaviors of agents obtained by symbiotic evolution. In the simulations, two ideas suitable for the effective analysis of such behaviors are introduced; "Match Type Tile-world (MTT)" and "Genetic Network Programming (GNP)". MTT is a virtual model where tile-world is improved so that agents can behave considering their symbiotic relations. GNP is a newly developed evolutionary computation which has the directed graph type gene structure and enables to analyze the decision making mechanism of agents easily. Simulation results show that Masbiole can obtain various kinds of behaviors and better performances than conventional MAS in MTT by evolution.

A study of evolutionary multiagent models based on symbiosis

Recently, many methods of evolutionary computation such as genetic algorithm (GA) and genetic programming (GP) have been developed as a basic tool for modeling and optimizing of complex systems. Generally speaking, GA has the genome of a string structure, while the genome in GP is the tree structure. Therefore, GP is suitable for constructing complicated programs, which can be applied to many real world problems. However, GP might sometimes be difficult to search for a solution because of its bloat. A novel evolutionary method named Genetic Network Programming (GNP), whose genome is a network structure is proposed to overcome the low searching efficiency of GP and is applied to the problem of the evolution of ant behavior in order to study the effectiveness of GNP. In addition, the comparison of the performances between GNP and GP is carried out in simulations on ant behaviors.

Comparison between Genetic Network Programming (GNP) and Genetic Programming (GP)

The first systematic literature review on evolutionary rule discovery in stock algorithmic trading.A clear demonstrate of studies in this field based on a classification framework.A precise analysis of gaps and limitations in existing studies based on detail of evaluation scheme.The most important factors influencing profitability of models are presented in detail.Targeted suggestions for future improvements based on the review are proposed. Despite the wide application of evolutionary computation (EC) techniques to rule discovery in stock algorithmic trading (AT), a comprehensive literature review on this topic is unavailable. Therefore, this paper aims to provide the first systematic literature review on the state-of-the-art application of EC techniques for rule discovery in stock AT. Out of 650 articles published before 2013 (inclusive), 51 relevant articles from 24 journals were confirmed. These papers were reviewed and grouped into three analytical method categories (fundamental analysis, technical analysis, and blending analysis) and three EC technique categories (evolutionary algorithm, swarm intelligence, and hybrid EC techniques). A significant bias toward the applications of genetic algorithm-based (GA) and genetic programming-based (GP) techniques in technical trading rule discovery is observed. Other EC techniques and fundamental analysis lack sufficient study. Furthermore, we summarize the information on the evaluation scheme of selected papers and particularly analyze the researches which compare their models with buy and hold strategy (B&H). We observe an interesting phenomenon where most of the existing techniques perform effectively in the downtrend and poorly in the uptrend, and considering the distribution of research in the classification framework, we suggest that this phenomenon can be attributed to the inclination of factor selections and problem in transaction cost selections. We also observe the significant influence of the transaction cost change on the margins of excess return. Other influenced factors are also presented in detail. The absence of ways for market trend prediction and the selection of transaction cost are two major limitations of the studies reviewed. In addition, the combination of trading rule discovery techniques and portfolio selection is a major research gap. Our review reveals the research focus and gaps in applying EC techniques for rule discovery in stock AT and suggests a roadmap for future research.

Application of evolutionary computation for rule discovery in stock algorithmic trading

Genetic Network Programming with Acquisition Mechanisms of Association Rules

Recently many studies have been made on the automatic design of complex systems using evolutionary optimization techniques such as genetic algorithms (GA), evolution strategy (ES), evolutionary programming (EP) and genetic programming (GP). It is generally recognized that these techniques are very useful for optimizing fairly complex systems such as the generation of intelligent behavior sequences of robots. A new method, genetic network programming (GNP), is proposed in order to acquire these behavior sequences efficiently. GNP is composed of plural nodes for agents to execute simple judgment/processing and they are connected with each other to form a network structure. Agents behave according to the contents of the nodes and their connections in GNP. In order to obtain a better structure, the GNP changes itself using evolutionary optimization techniques.

K. Hirasama

Papers

Genetic network programming - application to intelligent agents