A Grammar Model for Foreign-Exchange Trading

Created by W.Langdon from gp-bibliography.bib Revision:1.4524

  author =       "Anthony Brabazon and Michael O'Neill",
  title =        "A Grammar Model for Foreign-Exchange Trading",
  booktitle =    "Proceedings of the International Conference on
                 Artificial Intelligence",
  year =         "2003",
  editor =       "Hamid R. Arabnia and Rose Joshua and Youngsong Mun",
  volume =       "II",
  pages =        "492--498",
  month =        "23-26 " # jun,
  publisher =    "CSREA Press",
  address =      "Las Vegas, USA",
  keywords =     "genetic algorithms, genetic programming",
  ISBN =         "1-932415-13-0",
  URL =          "https://www.tib.eu/en/search/id/BLCP%3ACN050261220/A-Grammar-Model-for-Foreign-Exchange-Trading/",
  abstract =     "This study examines the potential of Grammatical
                 Evolution to uncover a series of useful technical
                 trading rules which can be used to trade foreign
                 exchange markets. In this study, each of the evolved
                 programs represents a market trading system and
                 implicitly, a predictive model. The form of these
                 programs is not specified ex-ante but emerges by means
                 of an evolutionary process. Daily US Dollar-DM exchange
                 rates for the period 9/3/93 to 13/10/97 are used to
                 train and test the model. The preliminary findings
                 suggest that the developed rules earn positive returns
                 in hold-out sample test periods after allowing for
                 trading and slippage costs. This suggests potential for
                 future research to determine whether further refinement
                 of the methodology adopted in this study could improve
                 the returns earned by the developed rules.",
  notes =        "IC-AI 2003. Also known as

Genetic Programming entries for Anthony Brabazon Michael O'Neill