A hybrid automated trading system based on multi-objective grammatical evolution
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- @Article{journals/jifs/ContrerasHN17,
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author = "Ivan Contreras and Jose Ignacio Hidalgo and
Laura Nunez-Letamendia",
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title = "A hybrid automated trading system based on
multi-objective grammatical evolution",
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journal = "Journal of Intelligent and Fuzzy Systems",
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year = "2017",
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volume = "32",
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number = "3",
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pages = "2461--2475",
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keywords = "genetic algorithms, genetic programming, grammatical
evolution",
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ISSN = "1064-1246",
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bibdate = "2017-05-28",
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bibsource = "DBLP,
http://dblp.uni-trier.de/db/journals/jifs/jifs32.html#ContrerasHN17",
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DOI = "doi:10.3233/JIFS-16435",
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abstract = "This paper describes a hybrid automated trading system
(ATS) based on grammatical evolution and microeconomic
analysis. The proposed system takes advantage from the
flexibility of grammars for introducing and testing
novel characteristics. The ATS introduces the
self-generation of new technical indicators and
multi-strategies for stopping unforeseen losses.
Additionally, this work copes with a novel optimization
method combining multi-objective optimization with a
grammatical evolution methodology. We implemented the
ATS testing three different fitness functions under
three mono-objective approaches and also two
multi-objective ATSs. Experimental results test and
compare them to the Buy and Hold strategy and a
previous approach, beating both in returns and in
number of positive operations. In particular, the
multi-objective approach demonstrated returns up to
20percent in very volatile periods, proving that the
combination of fitness functions is beneficial for the
ATS.",
- }
Genetic Programming entries for
Ivan Contreras
Jose Ignacio Hidalgo Perez
Laura Nunez-Letamendia
Citations