Knowledge-intensive genetic discovery in foreign exchange markets

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

@Article{bhattacharyya:2002:trEC,
  author =       "Siddhartha Bhattacharyya and Olivier V. Pictet and 
                 Gilles Zumbach",
  title =        "Knowledge-intensive genetic discovery in foreign
                 exchange markets",
  journal =      "IEEE Transactions on Evolutionary Computation",
  year =         "2002",
  volume =       "6",
  number =       "2",
  pages =        "169--181",
  month =        apr,
  keywords =     "genetic algorithms, genetic programming, data mining,
                 financial data processing, foreign exchange trading,
                 knowledge representation, learning (artificial
                 intelligence), mathematical operators, symmetry,
                 arithmetic operators, comparison operators, data
                 mining, domain-related structuring, financial markets,
                 high-frequency foreign exchange markets, indicator
                 types, knowledge-intensive genetic discovery, logical
                 operators, machine learning, optimisation fitness
                 criteria, risk-adjusted return measure, robust
                 performance, semantic restrictions, symmetry
                 properties, trading decision model discovery, trading
                 model specification",
  ISSN =         "1089-778X",
  URL =          "http://tigger.uic.edu/~sidb/papers/KnowIntenGPForex__IEEE_EC.pdf",
  DOI =          "doi:10.1109/4235.996016",
  size =         "13 pages",
  abstract =     "This paper considers the discovery of trading decision
                 models from high-frequency foreign exchange (FX)
                 markets data using genetic programming (GP). It
                 presents a domain-related structuring of the
                 representation and incorporation of semantic
                 restrictions for GP-based searching of trading decision
                 models. A defined symmetry property provides a basis
                 for the semantics of FX trading models. The symmetry
                 properties of basic indicator types useful in
                 formulating trading models are defined, together with
                 semantic restrictions governing their use in trading
                 model specification. The semantics for trading model
                 specification have been defined with respect to regular
                 arithmetic, comparison and logical operators. This
                 study also explores the use of two fitness criteria for
                 optimization, showing more robust performance with a
                 risk-adjusted measure of returns",
  notes =        "CODEN: ITEVF5 INSPEC Accession Number:7256658",
}

Genetic Programming entries for Siddhartha Bhattacharyya Olivier V Pictet Gilles Zumbach

Citations