Development Of Trading Systems Using Genetic Programming With A Case Study
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Author | : Holger Hartmann |
Publisher | : GRIN Verlag |
Total Pages | : 99 |
Release | : 2012-03-02 |
Genre | : Computers |
ISBN | : 3869436921 |
Diploma Thesis from the year 2007 in the subject Computer Science - Programming, grade: 1.7, University of Hamburg, language: English, abstract: In this thesis Genetic Progrmming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs. The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support "node weights". By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved. Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.
Author | : Shu-Heng Chen |
Publisher | : Springer Science & Business Media |
Total Pages | : 491 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1461508355 |
After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.
Author | : Yushi Jiang |
Publisher | : Springer Nature |
Total Pages | : 1906 |
Release | : 2023-05-11 |
Genre | : Business & Economics |
ISBN | : 9464630361 |
This is an open access book. With the support of universities and the research of AEIC Academic Exchange Center, The 2nd International Conference on Economic Development and Business Culture (ICEDBC 2022) will be held in Dali from June 24th to 26th. Compared with previous conferences, it will discuss more in-depth economic independent innovation, open cooperation and innovative business culture under the background of the new development stage, new situation and new journey era. There will be a broad exchange environment. Well-known experts, scholars or entrepreneurs in the field will be invited to make keynote reports. Contributing authors are also very welcome to actively participate in the conference and build an academic exchange ceremony.
Author | : Paul P Wang |
Publisher | : World Scientific |
Total Pages | : 1709 |
Release | : 2007-07-18 |
Genre | : |
ISBN | : 9814474487 |
This proceeding contains the cutting-edge research results in information science and technology, and their related technology. Recent scientific breakthroughs such as invisibility cloak and meta-materials, data mining techniques, advanced game playing in artificial intelligence, nano-technology, unlikely event probability, and fuzzy logic reasoning are just a few outstanding examples. Walter Freeman's 80th birthday celebration is another highlight of this proceedings, because this major event is attended by many leading scientists from around the world. Key speakers include Charles Falco, Water Freeman, Thomas Huang, Meyya Meyyappan, Lotfi Zadeh, Bernette Bouchon Meunier, Heather Carlson, Ling Guan, Etienne Kerre and John Mordes.
Author | : Anthony Brabazon |
Publisher | : Springer Science & Business Media |
Total Pages | : 276 |
Release | : 2006-03-28 |
Genre | : Computers |
ISBN | : 3540313079 |
Predicting the future for financial gain is a difficult, sometimes profitable activity. The focus of this book is the application of biologically inspired algorithms (BIAs) to financial modelling. In a detailed introduction, the authors explain computer trading on financial markets and the difficulties faced in financial market modelling. Then Part I provides a thorough guide to the various bioinspired methodologies – neural networks, evolutionary computing (particularly genetic algorithms and grammatical evolution), particle swarm and ant colony optimization, and immune systems. Part II brings the reader through the development of market trading systems. Finally, Part III examines real-world case studies where BIA methodologies are employed to construct trading systems in equity and foreign exchange markets, and for the prediction of corporate bond ratings and corporate failures. The book was written for those in the finance community who want to apply BIAs in financial modelling, and for computer scientists who want an introduction to this growing application domain.
Author | : Tiago Martins |
Publisher | : Springer Nature |
Total Pages | : 68 |
Release | : 2021-07-08 |
Genre | : Technology & Engineering |
ISBN | : 3030766802 |
This book presents a genetic algorithm that optimizes a grid template pattern detector to find the best point to trade in the SP 500. The pattern detector is based on a template using a grid of weights with a fixed size. The template takes in consideration not only the closing price but also the open, high, and low values of the price during the period under testing in contrast to the traditional methods of analysing only the closing price. Each cell of the grid encompasses a score, and these are optimized by an evolutionary genetic algorithm that takes genetic diversity into consideration through a speciation routine, giving time for each individual of the population to be optimized within its own niche. With this method, the system is able to present better results and improves the results compared with other template approaches. The tests considered real data from the stock market and against state-of-the-art solutions, namely the ones using a grid of weights which does not have a fixed size and non-speciated approaches. During the testing period, the presented solution had a return of 21.3% compared to 10.9% of the existing approaches. The use of speciation was able to increase the returns of some results as genetic diversity was taken into consideration.
Author | : Robert Pardo |
Publisher | : John Wiley & Sons |
Total Pages | : 334 |
Release | : 2011-01-11 |
Genre | : Business & Economics |
ISBN | : 111804505X |
A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies, a thoroughly revised and updated edition of his classic text Design, Testing, and Optimization of Trading Systems, he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods. Whether a trader is seeking to enhance their profit or just getting started in testing, The Evaluation and Optimization of Trading Strategies offers practical instruction and expert advice on the development, evaluation, and application of winning mechanical trading systems.
Author | : Conor Ryan |
Publisher | : Springer |
Total Pages | : 497 |
Release | : 2018-09-11 |
Genre | : Computers |
ISBN | : 3319787179 |
This handbook offers a comprehensive treatise on Grammatical Evolution (GE), a grammar-based Evolutionary Algorithm that employs a function to map binary strings into higher-level structures such as programs. GE's simplicity and modular nature make it a very flexible tool. Since its introduction almost twenty years ago, researchers have applied it to a vast range of problem domains, including financial modelling, parallel programming and genetics. Similarly, much work has been conducted to exploit and understand the nature of its mapping scheme, triggering additional research on everything from different grammars to alternative mappers to initialization. The book first introduces GE to the novice, providing a thorough description of GE along with historical key advances. Two sections follow, each composed of chapters from international leading researchers in the field. The first section concentrates on analysis of GE and its operation, giving valuable insight into set up and deployment. The second section consists of seven chapters describing radically different applications of GE. The contributions in this volume are beneficial to both novices and experts alike, as they detail the results and researcher experiences of applying GE to large scale and difficult problems. Topics include: • Grammar design • Bias in GE • Mapping in GE • Theory of disruption in GE · Structured GE · Geometric semantic GE · GE and semantics · Multi- and Many-core heterogeneous parallel GE · Comparing methods to creating constants in GE · Financial modelling with GE · Synthesis of parallel programs on multi-cores · Design, architecture and engineering with GE · Computational creativity and GE · GE in the prediction of glucose for diabetes · GE approaches to bioinformatics and system genomics · GE with coevolutionary algorithms in cybersecurity · Evolving behaviour trees with GE for platform games · Business analytics and GE for the prediction of patient recruitment in multicentre clinical trials
Author | : Ramin Karim |
Publisher | : CRC Press |
Total Pages | : 445 |
Release | : 2023-05-24 |
Genre | : Computers |
ISBN | : 1000865053 |
Presents compendium of methodologies and technologies in industrial AI and digitalization Illustrates sensor to actuation approach showing complete cycle, that defines and differences AI and digitalization concept Covers a broad range of academic and industrial issues within the field of asset management Discusses impact of Industry 4.0 in other sectors Includes a dedicated chapter on real-time case studies
Author | : Shu-Heng Chen |
Publisher | : Oxford University Press |
Total Pages | : 785 |
Release | : 2018 |
Genre | : Business & Economics |
ISBN | : 0199844372 |
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.