Evolutionary Money Management

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{saks:evows09,
  author =       "Philip Saks and Dietmar Maringer",
  title =        "Evolutionary Money Management",
  booktitle =    "Applications of Evolutionary Computing,
                 EvoWorkshops2009: {EvoCOMNET}, {EvoENVIRONMENT},
                 {EvoFIN}, {EvoGAMES}, {EvoHOT}, {EvoIASP},
                 {EvoINTERACTION}, {EvoMUSART}, {EvoNUM}, {EvoPhD},
                 {EvoSTOC}, {EvoTRANSLOG}",
  year =         "2009",
  month =        "15-17 " # apr,
  editor =       "Mario Giacobini and Ivanoe {De Falco} and Marc Ebner",
  series =       "LNCS",
  volume =       "5484",
  publisher =    "Springer Verlag",
  address =      "Tubingen, Germany",
  pages =        "162--171",
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "978-3-642-01128-3",
  DOI =          "doi:10.1007/978-3-642-01129-0_20",
  abstract =     "This paper evolves trading strategies using genetic
                 programming on high-frequency tick data of the USD/EUR
                 exchange rate covering the calendar year 2006. This
                 paper proposes a novel quad tree structure for trading
                 system design. The architecture consists of four trees
                 each solving a separate task, but mutually dependent
                 for overall performance. Specifically, the functions of
                 the trees are related to initiating (``entry'') and
                 terminating (``exit'') long and short positions. Thus,
                 evaluation is contingent on the current market
                 position. Using this architecture the paper
                 investigates the effects of money management. Money
                 management refers to certain measures that traders use
                 to control risk and take profits, but it is found that
                 it has a detrimental effects on performance.",
  notes =        "EvoWorkshops2009",
}

Genetic Programming entries for Philip Saks Dietmar G Maringer

Citations