A Grammar Model for Foreign-Exchange Trading
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gp-bibliography.bib Revision:1.8081
- @InProceedings{Brabazon:2003:ICAI,
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author = "Anthony Brabazon and Michael O'Neill",
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title = "A Grammar Model for Foreign-Exchange Trading",
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booktitle = "Proceedings of the International Conference on
Artificial Intelligence",
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year = "2003",
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editor = "Hamid R. Arabnia and Rose Joshua and Youngsong Mun",
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volume = "II",
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pages = "492--498",
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month = "23-26 " # jun,
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publisher = "CSREA Press",
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address = "Las Vegas, USA",
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keywords = "genetic algorithms, genetic programming",
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ISBN = "1-932415-13-0",
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URL = "https://www.tib.eu/en/search/id/BLCP%3ACN050261220/A-Grammar-Model-for-Foreign-Exchange-Trading/",
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abstract = "This study examines the potential of Grammatical
Evolution to uncover a series of useful technical
trading rules which can be used to trade foreign
exchange markets. In this study, each of the evolved
programs represents a market trading system and
implicitly, a predictive model. The form of these
programs is not specified ex-ante but emerges by means
of an evolutionary process. Daily US Dollar-DM exchange
rates for the period 9/3/93 to 13/10/97 are used to
train and test the model. The preliminary findings
suggest that the developed rules earn positive returns
in hold-out sample test periods after allowing for
trading and slippage costs. This suggests potential for
future research to determine whether further refinement
of the methodology adopted in this study could improve
the returns earned by the developed rules.",
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notes = "IC-AI 2003. Also known as
\cite{DBLP:conf/icai/BrabazonO03}",
- }
Genetic Programming entries for
Anthony Brabazon
Michael O'Neill
Citations