- author = "Roy Schwaerzel and Tom Bylander",
- title = "Predicting currency exchange rates by genetic programming with trigonometric functions and high-order statistics",
- booktitle = "{GECCO 2006:} Proceedings of the 8th annual conference on Genetic and evolutionary computation",
- year = "2006",
- editor = "Maarten Keijzer and Mike Cattolico and Dirk Arnold and Vladan Babovic and Christian Blum and Peter Bosman and Martin V. Butz and Carlos {Coello Coello} and Dipankar Dasgupta and Sevan G. Ficici and James Foster and Arturo Hernandez-Aguirre and Greg Hornby and Hod Lipson and Phil McMinn and Jason Moore and Guenther Raidl and Franz Rothlauf and Conor Ryan and Dirk Thierens",
- volume = "1",
- ISBN = "1-59593-186-4",
- pages = "955--956",
- address = "Seattle, Washington, USA",
-
URL = "
http://gpbib.cs.ucl.ac.uk/gecco2006/docs/p955.pdf",
-
DOI = "
doi:10.1145/1143997.1144167",
-
URL = "http://www.cs.utsa.edu/~bylander/pubs/pp098-schwaerzel.pdf",
- publisher = "ACM Press",
- publisher_address = "New York, NY, 10286-1405, USA",
- month = "8-12 " # jul,
- organisation = "ACM SIGEVO (formerly ISGEC)",
- keywords = "genetic algorithms, genetic programming: Poster, connectionism and neural nets, ANN, finance, high-order statistical function set, language acquisition, parameter learning, prediction/forecasting, time series analysis, trigonometric function set",
- size = "2 pages",
- abstract = "This paper describes an extension of the traditional application of Genetic Programming in the domain of the prediction of daily currency exchange rates. In combination with trigonometric operators, we introduce a new set of high-order statistical functions in a unique representation and analyse each system performance using daily returns of the British Pound and Japanese Yen. We will demonstrate that the introduction of high-order statistical functions in combination with trigonometric functions will outperform other traditional models such as Genetic Programming with the basic function set and ARMA models. Performance will be measured on hit percentage, average percentage change, and profit.",
-
notes = "GECCO-2006 A joint meeting of the fifteenth
international conference on genetic algorithms
(ICGA-2006) and the eleventh annual genetic programming
conference (GP-2006).
ACM Order Number 910060",
