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dc.contributor.author Bradley, Robert
dc.contributor.author Brabazon, Anthony
dc.contributor.author O'Neill, Michael
dc.date.accessioned 2011-01-21T14:59:07Z
dc.date.available 2011-01-21T14:59:07Z
dc.date.copyright 2010 Verlag Berlin Heidelberg en
dc.date.issued 2010-04
dc.identifier.citation Proceedings of EvoFIn 2010, Applications of Evolutionary Computation, Lecture Notes in Computer Science en
dc.identifier.isbn 978-3-642-12241-5
dc.identifier.uri http://hdl.handle.net/10197/2739
dc.description EvoFIN 4th European Event on Evolutionary and Natural Computation in Finance and Economics, at EvoStar 2010, Istanbul, 7-9 April 2010 en
dc.description.abstract 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 which allows for seamless integration of domain knowledge. The components of a policy are specified and represented as a set of rewrite rules in a context-free grammar. These rewrite rules define how the components can be legally assembled. Thus, strategies derived from the grammar are well-formed, domain-specific, solutions. A grammar-based Evolutionary Algorithm, Grammatical Evolution (GE), is then employed to automatically evolve intra-day trading strategies for the U.S. Stock Market. The GE methodology managed to discover profitable rules with realistic transaction costs included. The paper concludes with a number of suggestions for future work. en
dc.description.sponsorship Science Foundation Ireland en
dc.description.uri Conference details en
dc.description.uri http://dces.essex.ac.uk/research/evostar/index.html en
dc.format.extent 407117 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Springer en
dc.relation.ispartof Di Chio, C. ...et al (ed.s). Applications of Evolutionary Computation EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Istanbul, Turkey, April 7-9, 2010, Proceedings, Part II en
dc.relation.requires Business Research Collection en
dc.subject Trading-rule en
dc.subject Grammatical evolution en
dc.subject Trading systems en
dc.subject.lcsh Evolutionary computation en
dc.subject.lcsh Stocks en
dc.title Evolving trading rule-based policies en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1007/978-3-642-12242-2_26 en
dc.status Peer reviewed en
dc.identifier.doi 10.1007/978-3-642-12242-2_26
dc.neeo.contributor Bradley|Robert|aut| en
dc.neeo.contributor Brabazon|Anthony|aut| en
dc.neeo.contributor O'Neill|Michael|aut| en
dc.description.admin Embargo until April 2011 - AV 20/01/2011 en


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