Forecasting Price Movements in Betting Exchanges Using Cartesian Genetic Programming and ANN
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- @Article{DZALBS:2018:BDR,
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author = "Ivars Dzalbs and Tatiana Kalganova",
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title = "Forecasting Price Movements in Betting Exchanges Using
Cartesian Genetic Programming and ANN",
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journal = "Big Data Research",
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volume = "14",
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pages = "112--120",
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year = "2018",
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keywords = "genetic algorithms, genetic programming, Cartesian
Genetic Programming, Algorithmic trading, Financial
series forecasting, Betting exchange",
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ISSN = "2214-5796",
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DOI = "doi:10.1016/j.bdr.2018.10.001",
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URL = "http://www.sciencedirect.com/science/article/pii/S221457961730374X",
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abstract = "Since the introduction of betting exchanges in 2000,
there has been increased interest of ways to monetize
on the new technology. Betting exchange markets are
fairly similar to the financial markets in terms of
their operation. Due to the lower market share and
newer technology, there are very few tools available
for automated trading for betting exchanges. The
in-depth analysis of features available in commercial
software demonstrates that there is no commercial
software that natively supports machine learned
strategy development. Furthermore, previously published
academic software products are not publicly obtainable.
Hence, this work concentrates on developing a
full-stack solution from data capture, back-testing to
automated Strategy Agent development for betting
exchanges. Moreover, work also explores ways to
forecast price movements within betting exchange using
new machine learned trading strategies based on
Artificial Neuron Networks (ANN) and Cartesian Genetic
Programming (CGP). Automatically generated strategies
can then be deployed on a server and require no human
interaction. Data explored in this work were captured
from 1st of January 2016 to 17th of May 2016 for all GB
WIN Horse Racing markets (total of 204 GB of data
processing). Best found Strategy agent shows promising
83percent Return on Investment (ROI) during simulated
historical validation period of one month (15th of
April 2016 to 16th of May 2016)",
- }
Genetic Programming entries for
Ivars Dzalbs
Tatiana Kalganova
Citations