Phenotype-Object Programming, Phenotype-Array Datatype, and an Evolutionary Signal-Ensemble FX Trading Model

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@InProceedings{nacaskul:1997:pop,

• author = "Poomjai Nacaskul",
• title = "Phenotype-Object Programming, Phenotype-Array Datatype, and an Evolutionary Signal-Ensemble FX Trading Model",
• booktitle = "ET'97 Theory and Application of Evolutionary Computation",
• year = "1997",
• editor = "Chris Clack and Kanta Vekaria and Nadav Zin",
• pages = "95--108",
• address = "University College London, UK",
• month = "15 " # dec,
• keywords = "genetic algorithms, genetic programming",
• URL = "http://www.cs.ucl.ac.uk/isrg//et97/papers.htm#poomjai",
• abstract = "We set out to optimise a financial trading model which uses an ensemble of time-series trend indicating signal-models. The optimisation search is combinatorial over the combination of signal-model classes as well as parametric over the parameterisation of individual signal-model objects. Because the optimisation objective (net gain from simulated transactions against a historical price series) is not differentiable w.r.t. our trading model space, we look to evolutionary optimisation [EO] methodologies [Fogel, 1994], e.g. Genetic Algorithm [GA] [Holland, 1975/92], which rely on direct solution performance evaluation. However, because the multi-stage nature of our solution space prohibits stochastic-evolutionary convergence, we need to engineer a new EO paradigm to implement combinatorial and parametric search processes concurrently. This, we accomplish by exploiting the inherently object-oriented [OO] [Booch, 1994; Stroustrup, 1991] nature of an EO algorithm and of the combinatorial-parametric solutions. We propose Phenotype-Object Programming [POP] as a generalised OO model and implementation of an EO algorithm and Phenotype-Array Datatype [PAD] as a generalised OO model and implementation of a combinatorial-parametric solution [Nacaskul, 1997]. We apply this to our signal-ensemble trading model and discuss experimental results on DEM/JPY and USD/DEM data.",
• notes = "http://www.cs.ucl.ac.uk/isrg/et97/",

}

Genetic Programming entries for Poomjai Nacaskul

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