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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 | Publisher's version | 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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