A Grammar Model for Foreign-Exchange Trading

Created by W.Langdon from gp-bibliography.bib Revision:1.8051

@InProceedings{Brabazon:2003:ICAI,

• author = "Anthony Brabazon and Michael O'Neill",
• title = "A Grammar Model for Foreign-Exchange Trading",
• booktitle = "Proceedings of the International Conference on Artificial Intelligence",
• year = "2003",
• editor = "Hamid R. Arabnia and Rose Joshua and Youngsong Mun",
• volume = "II",
• pages = "492--498",
• month = "23-26 " # jun,
• publisher = "CSREA Press",
• address = "Las Vegas, USA",
• keywords = "genetic algorithms, genetic programming",
• ISBN = "1-932415-13-0",
• URL = "https://www.tib.eu/en/search/id/BLCP%3ACN050261220/A-Grammar-Model-for-Foreign-Exchange-Trading/",
• 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.",
• notes = "IC-AI 2003. Also known as \cite{DBLP:conf/icai/BrabazonO03}",

}

Genetic Programming entries for Anthony Brabazon Michael O'Neill

Citations