- author = "Wei Cui and Anthony Brabazon and Michael O'Neill",
- title = "Efficient trade execution using a genetic algorithm in an order book based artificial stock market",
- booktitle = "GECCO-2009 Late-Breaking Papers",
- year = "2009",
- editor = "Anna I. Esparcia and Ying-ping Chen and Gabriela Ochoa and Ender Ozcan and Marc Schoenauer and Anne Auger and Hans-Georg Beyer and Nikolaus Hansen and Steffen Finck and Raymond Ros and Darrell Whitley and Garnett Wilson and Simon Harding and W. B. Langdon and Man Leung Wong and Laurence D. Merkle and Frank W. Moore and Sevan G. Ficici and William Rand and Rick Riolo and Nawwaf Kharma and William R. Buckley and Julian Miller and Kenneth Stanley and Jaume Bacardit and Will Browne and Jan Drugowitsch and Nicola Beume and Mike Preuss and Stephen L. Smith and Stefano Cagnoni and Jim DeLeo and Alexandru Floares and Aaron Baughman and Steven Gustafson and Maarten Keijzer and Arthur Kordon and Clare Bates Congdon and Laurence D. Merkle and Frank W. Moore",
- pages = "2023--2028",
- address = "Montreal",
- publisher = "ACM",
- publisher_address = "New York, NY, USA",
- month = "8-12 " # jul,
- organisation = "SigEvo",
- keywords = "genetic algorithms, genetic programming",
- isbn13 = "978-1-60558-325-9",
- bibsource = "DBLP, http://dblp.uni-trier.de",
-
DOI = "
doi:10.1145/1570256.1570270",
- abstract = "Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. This paper introduces the concept of trade execution and outlines the limited prior work applying evolutionary computing methods for this task. Furthermore, we build an Agent-based Artificial Stock Market and apply a Genetic Algorithm to evolve an efficient trade execution strategy. Finally we suggest a number of opportunities for future research.",
-
notes = "Distributed on CD-ROM at GECCO-2009.
ACM Order Number 910092.",
