Objective function design in a grammatical evolutionary trading system

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dc.contributor.author Bradley, Robert
dc.contributor.author Brabazon, Anthony
dc.contributor.author O'Neill, Michael
dc.date.accessioned 2011-01-21T15:10:31Z
dc.date.available 2011-01-21T15:10:31Z
dc.date.copyright 2010 IEEE en
dc.date.issued 2010-07
dc.identifier.isbn 978-1-4244-6909-3
dc.identifier.uri http://hdl.handle.net/10197/2740
dc.description Congress on Evolutionary Computation, IEEE World Congress on Computational Intelligence, Barcelona, Spain, 18-23 July en
dc.description.abstract 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 to the problem of trading model induction and carry out a number of experiments to assess the effect of objective function design on the trading characteristics of the evolved strategies. The paper concludes with in and out-of-sample results, and indicates a number of avenues of future work. en
dc.description.sponsorship Science Foundation Ireland en
dc.description.uri Conference details en
dc.description.uri http://www.wcci2010.org/ en
dc.format.extent 1241883 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher IEEE Press en
dc.relation.ispartof 2010 IEEE Congress on Evolutionary Computation (CEC) [proceedings] en
dc.relation.requires Business Research Collection en
dc.rights Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. en
dc.subject Trading systems en
dc.subject Objective function design en
dc.subject Grammatical evolution en
dc.subject.lcsh Evolutionary computation en
dc.subject.lcsh Genetic algorithms en
dc.subject.lcsh Genetic programming (Computer science) en
dc.subject.lcsh Stocks en
dc.title Objective function design in a grammatical evolutionary trading system en
dc.type Conference Publication en
dc.internal.availability Full text available en
dc.internal.webversions http://dx.doi.org/10.1109/CEC.2010.5586020 en
dc.status Peer reviewed en
dc.identifier.doi 10.1109/CEC.2010.5586020
dc.neeo.contributor Bradley|Robert|aut| en
dc.neeo.contributor Brabazon|Anthony|aut| en
dc.neeo.contributor O'Neill|Michael|aut| en

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