Forecasting and trading the EUR/USD exchange rate with Gene Expression and Psi Sigma Neural Networks
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- @Article{Sermpinis20128865,
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author = "Georgios Sermpinis and Jason Laws and
Andreas Karathanasopoulos and Christian L. Dunis",
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title = "Forecasting and trading the {EUR/USD} exchange rate
with Gene Expression and Psi Sigma Neural Networks",
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journal = "Expert Systems with Applications",
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volume = "39",
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number = "10",
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pages = "8865--8877",
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year = "2012",
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ISSN = "0957-4174",
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DOI = "doi:10.1016/j.eswa.2012.02.022",
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URL = "http://www.sciencedirect.com/science/article/pii/S0957417412002667",
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keywords = "genetic algorithms, genetic programming, Genetic
Expression, Psi Sigma Networks, Recurrent networks,
Multi-Layer Perceptron networks, Quantitative trading
strategies",
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abstract = "The motivation for this paper is to investigate the
use of two promising classes of artificial intelligence
models, the Psi Sigma Neural Network (PSI) and the Gene
Expression algorithm (GEP), when applied to the task of
forecasting and trading the EUR/USD exchange rate. This
is done by benchmarking their results with a
Multi-Layer Perceptron (MLP), a Recurrent Neural
Network (RNN), a genetic programming algorithm (GP), an
autoregressive moving average model (ARMA) plus a naive
strategy. We also examine if the introduction of a
time-varying leverage strategy can improve the trading
performance of our models.",
- }
Genetic Programming entries for
Georgios Sermpinis
Jason Laws
Andreas S Karathanasopoulos
Christian L Dunis
Citations