Evolving trading strategies for a limit-order book generator

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

@InProceedings{Whigham:2010:cec,
  author =       "Peter A. Whigham and Rasika Withanawasam and 
                 Timothy Crack and I. M. Premachandra",
  title =        "Evolving trading strategies for a limit-order book
                 generator",
  booktitle =    "IEEE Congress on Evolutionary Computation (CEC 2010)",
  year =         "2010",
  address =      "Barcelona, Spain",
  month =        "18-23 " # jul,
  publisher =    "IEEE Press",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-1-4244-6910-9",
  abstract =     "A grammatical evolutionary model (GE) is used to
                 evolve trading strategies for a limit-order book model.
                 A modified version of a limit-order book generator,
                 based on the original work of Maslov [1], is used to
                 produce limit-order book tick data. The evolved trading
                 strategies demonstrate profit-making ability even
                 though the Maslov model is fundamentally based on
                 random behaviour.",
  DOI =          "doi:10.1109/CEC.2010.5586114",
  notes =        "WCCI 2010. Also known as \cite{5586114}",
}

Genetic Programming entries for Peter Alexander Whigham Rasika Withanawasam Timothy Falcon Crack I M Premachandra

Citations