Evolving trading strategies for a limit-order book generator

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@InProceedings{Whigham:2010:cec,

• author = "Peter A. Whigham and Rasika Withanawasam and Timothy Crack and I. M. Premachandra",
• title = "Evolving trading strategies for a limit-order book generator",
• booktitle = "IEEE Congress on Evolutionary Computation (CEC 2010)",
• year = "2010",
• address = "Barcelona, Spain",
• month = "18-23 " # jul,
• publisher = "IEEE Press",
• keywords = "genetic algorithms, genetic programming",
• isbn13 = "978-1-4244-6910-9",
• abstract = "A grammatical evolutionary model (GE) is used to evolve trading strategies for a limit-order book model. A modified version of a limit-order book generator, based on the original work of Maslov [1], is used to produce limit-order book tick data. The evolved trading strategies demonstrate profit-making ability even though the Maslov model is fundamentally based on random behaviour.",
• DOI = "doi:10.1109/CEC.2010.5586114",
• notes = "WCCI 2010. Also known as \cite{5586114}",

}

Genetic Programming entries for Peter Alexander Whigham Rasika Withanawasam Timothy Falcon Crack I M Premachandra

Citations