Interday foreign exchange trading using linear genetic programming

Created by W.Langdon from gp-bibliography.bib Revision:1.8120

@InProceedings{Wilson:2010:gecco,

• author = "Garnett Wilson and Wolfgang Banzhaf",
• title = "Interday foreign exchange trading using linear genetic programming",
• booktitle = "GECCO '10: Proceedings of the 12th annual conference on Genetic and evolutionary computation",
• year = "2010",
• editor = "Juergen Branke and Martin Pelikan and Enrique Alba and Dirk V. Arnold and Josh Bongard and Anthony Brabazon and Juergen Branke and Martin V. Butz and Jeff Clune and Myra Cohen and Kalyanmoy Deb and Andries P Engelbrecht and Natalio Krasnogor and Julian F. Miller and Michael O'Neill and Kumara Sastry and Dirk Thierens and Jano {van Hemert} and Leonardo Vanneschi and Carsten Witt",
• isbn13 = "978-1-4503-0072-8",
• pages = "1139--1146",
• keywords = "genetic algorithms, genetic programming, Real world applications",
• month = "7-11 " # jul,
• organisation = "SIGEVO",
• address = "Portland, Oregon, USA",
• DOI = "doi:10.1145/1830483.1830694",
• publisher = "ACM",
• publisher_address = "New York, NY, USA",
• abstract = "Foreign exchange (forex) market trading using evolutionary algorithms is an active and controversial area of research. We investigate the use of a linear genetic programming (LGP) system for automated forex trading of four major currency pairs. Fitness functions with varying degrees of conservatism through the incorporation of maximum drawdown are considered. The use of the fitness types in the LGP system for different currency value trends are examined in terms of performance over time, underlying trading strategies, and overall profitability. An analysis of trade profitability shows that the LGP system is very accurate at both buying to achieve profit and selling to prevent loss, with moderate levels of trading activity.",
• notes = "Also known as \cite{1830694} GECCO-2010 A joint meeting of the nineteenth international conference on genetic algorithms (ICGA-2010) and the fifteenth annual genetic programming conference (GP-2010)",

}

Genetic Programming entries for Garnett Carl Wilson Wolfgang Banzhaf

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