Evolutionary reinforcement learning in FX order book and order flow analysis

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{Bates:2003:ICCIFE,
  author =       "R. G. Bates and M. A. H. Dempster and Y. S. Romahi",
  title =        "Evolutionary reinforcement learning in FX order book
                 and order flow analysis",
  booktitle =    "IEEE International Conference on Computational
                 Intelligence for Financial Engineering",
  year =         "2003",
  pages =        "355--362",
  address =      "Hong Kong",
  month =        "20-23 " # mar,
  keywords =     "genetic algorithms, genetic programming",
  URL =          "http://mahd-pc.jbs.cam.ac.uk/archive/PAPERS/2003/WP06.pdf",
  DOI =          "doi:10.1109/CIFER.2003.1196282",
  abstract =     "As macroeconomic fundamentals based modelling of FX
                 time series have been shown not to fit the empirical
                 evidence at horizons of less than one year, interest
                 has moved towards microstructure-based approaches.
                 Order flow data has recently been receiving an
                 increasing amount of attention in equity market
                 analyses and thus increasingly in foreign exchange as
                 well.

                 In this paper, order flow data is coupled with order
                 book derived indicators and we explore whether pattern
                 recognition techniques derived from computational
                 learning can be applied to successfully infer trading
                 strategies on the underlying timeseries.

                 Due to the limited amount of data available the results
                 are preliminary. However, the approach demonstrates
                 promise and it is shown that using order flow and order
                 book data is usually superior to trading on technical
                 signals alone.",
  notes =        "Final report to HSBC Investment Bank, November (2002).
                 Location: Technical report WP06/2003

                 ",
}

Genetic Programming entries for Graham Bates Michael Dempster Yazann Romahi

Citations