Interday foreign exchange trading using linear genetic programming

Created by W.Langdon from gp-bibliography.bib Revision:1.3872

@InProceedings{Wilson:2010:gecco,
  author =       "Garnett Wilson and Wolfgang Banzhaf",
  title =        "Interday foreign exchange trading using linear genetic
                 programming",
  booktitle =    "GECCO '10: Proceedings of the 12th annual conference
                 on Genetic and evolutionary computation",
  year =         "2010",
  editor =       "Juergen Branke and Martin Pelikan and Enrique Alba and 
                 Dirk V. Arnold and Josh Bongard and 
                 Anthony Brabazon and Juergen Branke and Martin V. Butz and 
                 Jeff Clune and Myra Cohen and Kalyanmoy Deb and 
                 Andries P Engelbrecht and Natalio Krasnogor and 
                 Julian F. Miller and Michael O'Neill and Kumara Sastry and 
                 Dirk Thierens and Jano {van Hemert} and Leonardo Vanneschi and 
                 Carsten Witt",
  isbn13 =       "978-1-4503-0072-8",
  pages =        "1139--1146",
  keywords =     "genetic algorithms, genetic programming, Real world
                 applications",
  month =        "7-11 " # jul,
  organisation = "SIGEVO",
  address =      "Portland, Oregon, USA",
  DOI =          "doi:10.1145/1830483.1830694",
  publisher =    "ACM",
  publisher_address = "New York, NY, USA",
  abstract =     "Foreign exchange (forex) market trading using
                 evolutionary algorithms is an active and controversial
                 area of research. We investigate the use of a linear
                 genetic programming (LGP) system for automated forex
                 trading of four major currency pairs. Fitness functions
                 with varying degrees of conservatism through the
                 incorporation of maximum drawdown are considered. The
                 use of the fitness types in the LGP system for
                 different currency value trends are examined in terms
                 of performance over time, underlying trading
                 strategies, and overall profitability. An analysis of
                 trade profitability shows that the LGP system is very
                 accurate at both buying to achieve profit and selling
                 to prevent loss, with moderate levels of trading
                 activity.",
  notes =        "Also known as \cite{1830694} GECCO-2010 A joint
                 meeting of the nineteenth international conference on
                 genetic algorithms (ICGA-2010) and the fifteenth annual
                 genetic programming conference (GP-2010)",
}

Genetic Programming entries for Garnett Carl Wilson Wolfgang Banzhaf

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