Evolving dynamic trade execution strategies using grammatical evolution

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dc.contributor.author Cui, Wei
dc.contributor.author Brabazon, Anthony
dc.contributor.author O'Neill, Michael
dc.date.accessioned 2010-07-14T14:03:23Z
dc.date.available 2010-07-14T14:03:23Z
dc.date.copyright 2010 Springer Verlag en
dc.date.issued 2010
dc.identifier.isbn 978-3-642-12241-5
dc.identifier.uri http://hdl.handle.net/10197/2161
dc.description Paper presented at EvoFin 2010, 4th European Event on Evolutionary and Natural Computation in Finance and Economics, as part of EvoStar 2010, 7-9 April 2010, Istanbul en
dc.description.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. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 198900 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Springer en
dc.relation.ispartof Di Chio, C. ... et al. (eds.). Applications of Evolutionary Computation : EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG Istanbul, Turkey, April 7-9, 2010 Proceedings, Part II en
dc.rights The final publication is available at springerlink.com. en
dc.subject Finance en
dc.subject Grammatical evolution en
dc.subject Trade en
dc.subject Risk management en
dc.subject.lcsh Evolutionary computation en
dc.subject.lcsh International finance en
dc.subject.lcsh Financial risk en
dc.subject.lcsh Financial instruments en
dc.title Evolving dynamic trade execution strategies using grammatical evolution en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.internal.webversions http://dx.doi.org/10.1007/978-3-642-12242-2_20 en
dc.status Peer reviewed en
dc.identifier.doi 10.1007/978-3-642-12242-2_20
dc.neeo.contributor Cui|Wei|aut| en
dc.neeo.contributor Brabazon|Anthony|aut| en
dc.neeo.contributor O'Neill|Michael|aut| en
dc.description.admin ke, ab - AL 06/07/2010 en

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