Efficient trade execution using a genetic algorithm in an order book based artificial stock market

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@InProceedings{DBLP:conf/gecco/CuiBO09,
  author =       "Wei Cui and Anthony Brabazon and Michael O'Neill",
  title =        "Efficient trade execution using a genetic algorithm in
                 an order book based artificial stock market",
  booktitle =    "GECCO-2009 Late-Breaking Papers",
  year =         "2009",
  editor =       "Anna I. Esparcia and Ying-ping Chen and 
                 Gabriela Ochoa and Ender Ozcan and Marc Schoenauer and Anne Auger and 
                 Hans-Georg Beyer and Nikolaus Hansen and 
                 Steffen Finck and Raymond Ros and Darrell Whitley and 
                 Garnett Wilson and Simon Harding and W. B. Langdon and 
                 Man Leung Wong and Laurence D. Merkle and Frank W. Moore and 
                 Sevan G. Ficici and William Rand and Rick Riolo and 
                 Nawwaf Kharma and William R. Buckley and Julian Miller and 
                 Kenneth Stanley and Jaume Bacardit and Will Browne and 
                 Jan Drugowitsch and Nicola Beume and Mike Preuss and 
                 Stephen L. Smith and Stefano Cagnoni and Jim DeLeo and 
                 Alexandru Floares and Aaron Baughman and 
                 Steven Gustafson and Maarten Keijzer and Arthur Kordon and 
                 Clare Bates Congdon and Laurence D. Merkle and 
                 Frank W. Moore",
  pages =        "2023--2028",
  address =      "Montreal",
  publisher =    "ACM",
  publisher_address = "New York, NY, USA",
  month =        "8-12 " # jul,
  organisation = "SigEvo",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-1-60558-325-9",
  bibsource =    "DBLP, http://dblp.uni-trier.de",
  DOI =          "doi:10.1145/1570256.1570270",
  abstract =     "Although there is a plentiful literature on the use of
                 evolutionary methodologies for the trading of financial
                 assets, little attention has been paid to the issue of
                 efficient trade execution. Trade execution is concerned
                 with the actual mechanics of buying or selling the
                 desired amount of a financial instrument of interest.
                 This paper introduces the concept of trade execution
                 and outlines the limited prior work applying
                 evolutionary computing methods for this task.
                 Furthermore, we build an Agent-based Artificial Stock
                 Market and apply a Genetic Algorithm to evolve an
                 efficient trade execution strategy. Finally we suggest
                 a number of opportunities for future research.",
  notes =        "Distributed on CD-ROM at GECCO-2009.

                 ACM Order Number 910092.",
}

Genetic Programming entries for Wei Cui Anthony Brabazon Michael O'Neill

Citations