Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. ...
The last ten years has seen the introduction and rapid growth of a market in weather derivatives, financial instruments whose payoffs are determined by the outcome of an underlying weather metric. These instruments allow ...
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 ...
Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. A practical problem in trade execution is how to trade a large order as efficiently as ...
Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format ...
Designing a suitable objective function is an essential step in successfully applying an evolutionary algorithm to a problem. In this study we apply a grammar-based Genetic Programming algorithm called Grammatical Evolution ...