Development of Trading Systems using Genetic Programming with a Case Study

Language: English

Published by GRIN Verlag Feb 2008, 2008

3638913821 / 9783638913829

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This item is printed on demand - Print on Demand Titel. Neuware -Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), language: English, abstract: In this thesis Genetic Programming is used to create trading systems for the EUR/USD foreign exchange market using intraday data. In addition to the exchange rates several moving averages are used as inputs.The developed evolutionary algorithm extends the framework ECJ. The created trading systems are being evaluated by a fitness function that consists of a trading simulation. Genetic operators have been adapted to support 'node weights'. By using these on the one hand macromutaion is tried to be reduced on the other hand the interpretability of the created trading systems is tried to be improved.Results of experiments show that created trading systems are apparently successfull in profitably using informations contained within the exchange rates. Profits of the created trading systems are maximized by using the optimal position size. It is shown that if the minimum investment period is met the achieved results are optimal even when taking into account the used risk adjusted performance figure.GRIN Publishing GmbH, Waltherstraße 23, 80337 München 100 pp. Englisch.…

Seller Inventory # 9783638913829

Title
Development of Trading Systems using Genetic Programming with a Case Study
Author
Holger Hartmann
Publisher
GRIN Verlag Feb 2008
Publication year
2008
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3638913821
ISBN 13
9783638913829
Item weight
316 grams
Dimensions
297x210x8 mm

buchversandmimpf2000

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