Predicting currency exchange rates by genetic programming with trigonometric functions and high-order statistics

Created by W.Langdon from gp-bibliography.bib Revision:1.4420

  author =       "Roy Schwaerzel and Tom Bylander",
  title =        "Predicting currency exchange rates by genetic
                 programming with trigonometric functions and high-order
  booktitle =    "{GECCO 2006:} Proceedings of the 8th annual conference
                 on Genetic and evolutionary computation",
  year =         "2006",
  editor =       "Maarten Keijzer and Mike Cattolico and Dirk Arnold and 
                 Vladan Babovic and Christian Blum and Peter Bosman and 
                 Martin V. Butz and Carlos {Coello Coello} and 
                 Dipankar Dasgupta and Sevan G. Ficici and James Foster and 
                 Arturo Hernandez-Aguirre and Greg Hornby and 
                 Hod Lipson and Phil McMinn and Jason Moore and Guenther Raidl and 
                 Franz Rothlauf and Conor Ryan and Dirk Thierens",
  volume =       "1",
  ISBN =         "1-59593-186-4",
  pages =        "955--956",
  address =      "Seattle, Washington, USA",
  URL =          "",
  DOI =          "doi:10.1145/1143997.1144167",
  URL =          "",
  publisher =    "ACM Press",
  publisher_address = "New York, NY, 10286-1405, USA",
  month =        "8-12 " # jul,
  organisation = "ACM SIGEVO (formerly ISGEC)",
  keywords =     "genetic algorithms, genetic programming: Poster,
                 connectionism and neural nets, ANN, finance, high-order
                 statistical function set, language acquisition,
                 parameter learning, prediction/forecasting, time series
                 analysis, trigonometric function set",
  size =         "2 pages",
  abstract =     "This paper describes an extension of the traditional
                 application of Genetic Programming in the domain of the
                 prediction of daily currency exchange rates. In
                 combination with trigonometric operators, we introduce
                 a new set of high-order statistical functions in a
                 unique representation and analyse each system
                 performance using daily returns of the British Pound
                 and Japanese Yen. We will demonstrate that the
                 introduction of high-order statistical functions in
                 combination with trigonometric functions will
                 outperform other traditional models such as Genetic
                 Programming with the basic function set and ARMA
                 models. Performance will be measured on hit percentage,
                 average percentage change, and profit.",
  notes =        "GECCO-2006 A joint meeting of the fifteenth
                 international conference on genetic algorithms
                 (ICGA-2006) and the eleventh annual genetic programming
                 conference (GP-2006).

                 ACM Order Number 910060",

Genetic Programming entries for Roy Schwaerzel Tom Bylander