Evolving a robust trader in a cyclic double auction market

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@InProceedings{Whigham:2011:GECCO,
  author =       "Peter A. Whigham and Rasika Withanawasam",
  title =        "Evolving a robust trader in a cyclic double auction
                 market",
  booktitle =    "GECCO '11: Proceedings of the 13th annual conference
                 on Genetic and evolutionary computation",
  year =         "2011",
  editor =       "Natalio Krasnogor and Pier Luca Lanzi and 
                 Andries Engelbrecht and David Pelta and Carlos Gershenson and 
                 Giovanni Squillero and Alex Freitas and 
                 Marylyn Ritchie and Mike Preuss and Christian Gagne and 
                 Yew Soon Ong and Guenther Raidl and Marcus Gallager and 
                 Jose Lozano and Carlos Coello-Coello and Dario Landa Silva and 
                 Nikolaus Hansen and Silja Meyer-Nieberg and 
                 Jim Smith and Gus Eiben and Ester Bernado-Mansilla and 
                 Will Browne and Lee Spector and Tina Yu and Jeff Clune and 
                 Greg Hornby and Man-Leung Wong and Pierre Collet and 
                 Steve Gustafson and Jean-Paul Watson and 
                 Moshe Sipper and Simon Poulding and Gabriela Ochoa and 
                 Marc Schoenauer and Carsten Witt and Anne Auger",
  isbn13 =       "978-1-4503-0557-0",
  pages =        "1451--1458",
  keywords =     "genetic algorithms, genetic programming, grammatical
                 evolution",
  month =        "12-16 " # jul,
  organisation = "SIGEVO",
  address =      "Dublin, Ireland",
  DOI =          "doi:10.1145/2001576.2001771",
  publisher =    "ACM",
  publisher_address = "New York, NY, USA",
  abstract =     "A computational model of a double auction market is
                 introduced and extended to allow a controlled cyclic
                 behaviour in the price signal to be developed. Traders
                 are evolved to maximise profit in this market using
                 Grammatical Evolution, and their properties studied for
                 a range of periods and amplitude of the trend in the
                 price signal. The trader grammar allows decision making
                 based on simple trading rules incorporating the
                 concepts of moving-average oscillators and trading
                 range break-out. The results of this investigation
                 demonstrate that traders evolve a short waiting period
                 between decisions, and that there underlying decision
                 logic reflects the scale of the market price frequency.
                 Evidence is presented that suggests evolving a robust
                 profit-making trader, for a range of price frequency
                 changes, requires the training data to have high
                 frequency variation. More generally, to evolve robust
                 solutions for any complex GP problem, a set of local
                 models or an ensemble and state-based approach, is
                 implied by the results.",
  notes =        "Also known as \cite{2001771} GECCO-2011 A joint
                 meeting of the twentieth international conference on
                 genetic algorithms (ICGA-2011) and the sixteenth annual
                 genetic programming conference (GP-2011)",
}

Genetic Programming entries for Peter Alexander Whigham Rasika Withanawasam

Citations