Generating Directional Change Based Trading Strategies with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8129

@InProceedings{Gypteau:2015:evoApplications,

• author = "Jeremie Gypteau and Fernando Otero and Michael Kampouridis",
• title = "Generating Directional Change Based Trading Strategies with Genetic Programming",
• booktitle = "18th European Conference on the Applications of Evolutionary Computation",
• year = "2015",
• editor = "Antonio M. Mora and Giovanni Squillero",
• series = "LNCS",
• volume = "9028",
• publisher = "Springer",
• pages = "267--278",
• address = "Copenhagen",
• month = "8-10 " # apr,
• organisation = "EvoStar",
• keywords = "genetic algorithms, genetic programming, Directional changes, Financial forecasting, Trading",
• isbn13 = "978-3-319-16548-6",
• URL = "http://www.kampouridis.net/papers/EvoFin2015.pdf",
• DOI = "doi:10.1007/978-3-319-16549-3_22",
• size = "12 pages",
• abstract = "The majority of forecasting tools use a physical time scale for studying price fluctuations of financial markets, making the flow of physical time discontinuous. Therefore, using a physical time scale may expose companies to risks, due to ignorance of some significant activities. In this paper, an alternative and novel approach is explored to capture important activities in the market. The main idea is to use an intrinsic time scale based on Directional Changes. Combined with Genetic Programming, the proposed approach aims to find an optimal trading strategy to forecast the future price moves of a financial market. In order to evaluate its efficiency and robustness as forecasting tool, a series of experiments was performed, where we were able to obtain valuable information about the forecasting performance. The results from the experiments indicate that this new framework is able to generate new and profitable trading strategies.",
• notes = "EvoFIN EvoApplications2015 held in conjunction with EuroGP'2015, EvoCOP2015 and EvoMusArt2015 http://www.evostar.org/2015/cfp_evoapps.php",

}

Genetic Programming entries for Jeremie Gypteau Fernando Esteban Barril Otero Michael Kampouridis

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