Stock selection for hedge fund portfolios is a challenging problem that has previously been tackled by many machine-learning, genetic and evolutionary systems, including both Genetic Programming (GP) and Support Vector Machines (SVM). But which is the better? We provide a head-to-head evaluation of GP and SVM applied to this real-world problem, including… (More)
This note is best described as a 'Research Challenge', and concerns building an ultra high frequency (UHF) trading system. The emphasis is on addressing the problems posed by UHF data, with a few thoughts on strategy and implementation. The problem may be amenable to evolutionary computation.