On the impact of streaming interface heuristics on GP trading agents: an FX benchmarking study

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

  author =       "Alexander Loginov and Malcolm I. Heywood",
  title =        "On the impact of streaming interface heuristics on
                 {GP} trading agents: an {FX} benchmarking study",
  booktitle =    "GECCO '13: Proceeding of the fifteenth annual
                 conference on Genetic and evolutionary computation
  year =         "2013",
  editor =       "Christian Blum and Enrique Alba and Anne Auger and 
                 Jaume Bacardit and Josh Bongard and Juergen Branke and 
                 Nicolas Bredeche and Dimo Brockhoff and 
                 Francisco Chicano and Alan Dorin and Rene Doursat and 
                 Aniko Ekart and Tobias Friedrich and Mario Giacobini and 
                 Mark Harman and Hitoshi Iba and Christian Igel and 
                 Thomas Jansen and Tim Kovacs and Taras Kowaliw and 
                 Manuel Lopez-Ibanez and Jose A. Lozano and Gabriel Luque and 
                 John McCall and Alberto Moraglio and 
                 Alison Motsinger-Reif and Frank Neumann and Gabriela Ochoa and 
                 Gustavo Olague and Yew-Soon Ong and 
                 Michael E. Palmer and Gisele Lobo Pappa and 
                 Konstantinos E. Parsopoulos and Thomas Schmickl and Stephen L. Smith and 
                 Christine Solnon and Thomas Stuetzle and El-Ghazali Talbi and 
                 Daniel Tauritz and Leonardo Vanneschi",
  isbn13 =       "978-1-4503-1963-8",
  pages =        "1341--1348",
  keywords =     "genetic algorithms, genetic programming",
  month =        "6-10 " # jul,
  organisation = "SIGEVO",
  address =      "Amsterdam, The Netherlands",
  DOI =          "doi:10.1145/2463372.2463522",
  publisher =    "ACM",
  publisher_address = "New York, NY, USA",
  abstract =     "Most research into frameworks for evolving trading
                 agents emphasise aspects associated with the evolution
                 of technical indicators and decision trees / rules. One
                 of the factors that drives the development of such
                 frameworks is the non-stationary, streaming nature of
                 the task. However, it is the heuristics used to
                 interface the evolutionary framework to the streaming
                 data which potentially have most impact on the quality
                 of the resulting trading agents. We demonstrate that
                 including a validation partition has a significant
                 impact on determining the overall success of the
                 trading agents. Moreover, rather than conduct evolution
                 on a continuous basis, only retraining when changes in
                 trading quality are detected also yields significant
                 advantages. Neither of these heuristics are widely
                 recognised by research in evolving trading agent
                 frameworks, although both are relatively easy to add to
                 current frameworks. Benchmarking over a 3 year period
                 of the EURUSD foreign exchange supports these
  notes =        "Also known as \cite{2463522} GECCO-2013 A joint
                 meeting of the twenty second international conference
                 on genetic algorithms (ICGA-2013) and the eighteenth
                 annual genetic programming conference (GP-2013)",

Genetic Programming entries for Alexander Loginov Malcolm Heywood