Evolving Dynamic Trade Execution Strategies Using Grammatical Evolution

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@InProceedings{cui:2010:evofin,
  author =       "Wei Cui and Anthony Brabazon and Michael O'Neill",
  title =        "Evolving Dynamic Trade Execution Strategies Using
                 Grammatical Evolution",
  booktitle =    "EvoFIN",
  year =         "2010",
  editor =       "Cecilia {Di Chio} and Anthony Brabazon and 
                 Gianni A. {Di Caro} and Marc Ebner and Muddassar Farooq and 
                 Andreas Fink and Jorn Grahl and Gary Greenfield and 
                 Penousal Machado and Michael O'Neill and 
                 Ernesto Tarantino and Neil Urquhart",
  volume =       "6025",
  series =       "LNCS",
  pages =        "192--201",
  address =      "Istanbul",
  month =        "7-9 " # apr,
  organisation = "EvoStar",
  publisher =    "Springer",
  keywords =     "genetic algorithms, genetic programming, grammatical
                 evolution",
  isbn13 =       "978-3-642-12241-5",
  DOI =          "doi:10.1007/978-3-642-12242-2_20",
  abstract =     "Although there is a plentiful literature on the use of
                 evolutionary methodologies for the trading of financial
                 assets, little attention has been paid to potential use
                 of these methods for efficient trade execution. Trade
                 execution is concerned with the actual mechanics of
                 buying or selling the desired amount of a financial
                 instrument of interest. Grammatical Evolution (GE) is
                 an evolutionary automatic programming methodology which
                 can be used to evolve rule sets. In this paper we use a
                 GE algorithm to discover dynamic, efficient, trade
                 execution strategies which adapt to changing market
                 conditions. The strategies are tested in an artificial
                 limit order market. GE was found to be able to evolve
                 quality trade execution strategies which are highly
                 competitive with two benchmark trade execution
                 strategies.",
  notes =        "EvoFIN'2010 held in conjunction with EuroGP'2010
                 EvoCOP2010 EvoBIO2010",
}

Genetic Programming entries for Wei Cui Anthony Brabazon Michael O'Neill

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