A genetic-programming-based approach to the generation of foreign-exchange trading models

Colin, Andrew

doi:10.1017/cbo9780511896682.011

Cited by 5 publications

(4 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Furthermore, the review of research works provided by Jansen [14] suggests that the Forex market was explored to a lesser extent than the stock market when it comes to the algorithms generating investment strategies and that the previous results were quite promising. In the previous research works (for example [80][81][82][83]) that analyzed the Forex market, techniques generating enormous profit were proposed, even if we take into account the transaction costs. Various authors also stated that the Forex market is mainly characterized by a lack of efficiency, which opens the way to the application of bio-inspired artificial intelligence algorithms for investment strategies' generation.…”

Section: Greaterthanmentioning

confidence: 99%

The Bio-Inspired Optimization of Trading Strategies and Its Impact on the Efficient Market Hypothesis and Sustainable Development Strategies

2018

View full text Add to dashboard Cite

In this paper, the evolutionary algorithm for the optimization of Forex market trading strategies is proposed. The introduction to issues related to the financial markets and the evolutionary algorithms precedes the main part of the paper, in which the proposed trading system is presented. The system uses the evolutionary algorithm for optimization of a parameterized greedy strategy, which is then used as an investment strategy on the Forex market. In the proposed system, a model of the Forex market was developed, including all elements that are necessary for simulating realistic trading processes. The proposed evolutionary algorithm contains several novel mechanisms that were introduced to optimize the greedy strategy. The most important of the proposed techniques are the mechanisms for maintaining the population diversity, a mechanism for protecting the best individuals in the population, the mechanisms preventing the excessive growth of the population, the mechanisms of the initialization of the population after moving the time window and a mechanism of choosing the best strategies used for trading. The experiments, conducted with the use of real-world Forex market data, were aimed at testing the quality of the results obtained using the proposed algorithm and comparing them with the results obtained by the buy-and-hold strategy. By comparing our results with the results of the buy-and-hold strategy, we attempted to verify the validity of the efficient market hypothesis. The credibility of the hypothesis would have more general implications for many different areas of our lives, including future sustainable development policies.

show abstract

Section: Greaterthanmentioning

confidence: 99%

The Bio-Inspired Optimization of Trading Strategies and Its Impact on the Efficient Market Hypothesis and Sustainable Development Strategies

2018

View full text Add to dashboard Cite

show abstract

“…Leinweber and Arnott (1995) have used Genetic Algorithm for predicting the forecasting performance of financial models. Many studies in finance (Colin, 1996;Nelly et al, 1997;Allen and Karjalainen, 1999) use GA particularly in developing trading strategy patterns.…”

Section: Application Of Various Nature Inspired Techniques For Portfomentioning

confidence: 99%

Portfolio Optimization Using Nature Inspired Computing Techniques: A Review

Kaushal¹,

Singh²

2016

IJAR

View full text Add to dashboard Cite

A portfolio of is a collection of different types of stocks. This diversification is necessary to reduce investment risk. This paper presents a state of art review of various nature inspired techniques used for portfolio optimization. There are various nature inspired techniques like Genetic Algorithm etc., which are successfully used in many areas of science, engineering and management. This paper looks for applications of these for portfolio optimization. This also presents the gaps, which are present in this research area, and can be surveyed further.

show abstract

“…Thus it seems logical that the expected return of a portfolio should depend on the expected return of each of the security contained in the portfolio. A lot of research work has been done on portfolio optimization and these days many nature inspired techniques are also being surveyed [1][2][3][4][5][6][7][8][9][10][11][12][13][14][15][16][17][18][19].…”

Section: Introductionmentioning

confidence: 99%