Finding attractive technical patterns in cryptocurrency markets

Created by W.Langdon from gp-bibliography.bib Revision:1.4496

@Article{ha:Memetic_Computing,
  author =       "Sungjoo Ha and Byung-Ro Moon",
  title =        "Finding attractive technical patterns in
                 cryptocurrency markets",
  journal =      "Memetic Computing",
  year =         "2018",
  volume =       "10",
  number =       "3",
  pages =        "301--306",
  month =        sep,
  keywords =     "genetic algorithms, genetic programming, Technical
                 patterns, Cryptocurrency, Algorithmic trading",
  ISSN =         "1865-9292",
  URL =          "https://doi.org/10.1007/s12293-018-0252-y",
  DOI =          "doi:10.1007/s12293-018-0252-y",
  abstract =     "The cryptographic currency market is an emerging venue
                 for traders looking to diversify their investments. We
                 investigate the use of genetic programming (GP) for
                 finding attractive technical patterns in a
                 cryptocurrency market. We decompose the problem of
                 automatic trading into two parts, mining useful signals
                 and applying them to trading strategies, and focus our
                 attention on the former. Extensive experiments are
                 performed to analyse the factors that affect the
                 quality of the solutions found by the proposed GP
                 system. With the introduction of domain knowledge
                 through extended function sets and the inclusion of
                 diversity preserving mechanism, we show that the
                 proposed GP system successfully finds attractive
                 technical patterns. Out-of-sample performance of the
                 patterns indicates that the GP consistently finds
                 signals that are profitable and frequent. A trading
                 simulation with the generated patterns suggests that
                 the captured signals are indeed useful for portfolio
                 optimization.",
}

Genetic Programming entries for Sungjoo Ha Byung-Ro Moon

Citations