Title :
Evolving trading strategies for a limit-order book generator
Author :
Whigham, Peter A. ; Withanawasam, Rasika ; Crack, Timothy ; Premachandra, I.M.
Author_Institution :
Sch. of Bus., Univ. of Otago, Dunedin, New Zealand
Abstract :
A grammatical evolutionary model (GE) is used to evolve trading strategies for a limit-order book model. A modified version of a limit-order book generator, based on the original work of Maslov, is used to produce limit-order book tick data. The evolved trading strategies demonstrate profit-making ability even though the Maslov model is fundamentally based on random behaviour.
Keywords :
commerce; evolutionary computation; Maslov model; book generator; grammatical evolutionary model; limit order book model; trading strategy; Books; Computational modeling; Data models; Decision making; Generators; Grammar; Noise measurement;
Conference_Titel :
Evolutionary Computation (CEC), 2010 IEEE Congress on
Conference_Location :
Barcelona
Print_ISBN :
978-1-4244-6909-3
DOI :
10.1109/CEC.2010.5586114
