A simulation package to generate quantitative risk models for time series data using genetic programming.

Genesis-VIII is a software tool that I wrote in 2008 (hence the VIII) for my MSc thesis in statistics & machine learning, which was on the subject of genetic programming.

The software provides generic classes for performing genetic programming in C++. It can be interactively controlled using an embedded Lua interpreter.

The base classes Population, Program, Tree, Node, Leaf and Branch can be easily subclassed to implement new types of genetic programs and evolution schemes.

Currently, the package contains genetic programs for modeling the following quantities:

• The Value at Risk (VaR) of a discrete time series.
• The Expected Shortfall (ES) of a discrete time series.
• The copula model of a bivariate sample of discrete time series data.

To get you started, example scripts and stock market data is included.

As an example, the following code will evolve a model for the bivariate copula of the returns of the Dow Jones Industrial Index (DOW) and the Deutsche Aktienindex (DAX), using 50 rounds of evolution with tournament selection and a given mutation, crossover and shrink rate:

p=pop.new();

dir="data/copula_test_new";

pop.output_dir(p,dir);
logger.reopen(dir);

print("Mutation rate:",pop.mutation_rate(p,0.05),"\n");
print("Shrink rate:",pop.shrink_rate(p,0.025),"\n");
print("Crossover size:",pop.crossover_size(p,0.2),"\n");
print("Tournament size:",pop.tournament_size(p,6),"\n");

pop.create(p,1000,10,program.copula,"data/stocks/dow.csv","data/stocks/dax.csv",6,",");
pop.run(p,50);

The code (except the numerical recipes snippets that were used and the Lua interface library code) can be freely reused. Feel free to include a reference to this code if you reuse it in your own project.

For more information on this tool, check out my MSc thesis in statistics at http://www.andreas-dewes.de/en/publications . If you have any questions or comments about this code, feel free to drop me a line (contact details can be found on my web site).