Paper Info
Title
Evolving Trading Signals at Foreign Exchange Market.
Abstract
Paper examines the merit of evolutionary algorithms to generate trading signals for trading decisions at financial markets. We focus on foreign-exchange market. It is among the largest financial markets. “Technical” traders base their decisions on a set of technical rules evolved from past market activity. We employ a genetic algorithm to learn a set of profitable trading rules considering transaction costs; each rule generates a ‘buy’, ‘hold’, or ‘sell’ signal using moving average technical rule. We empirically evaluate our approach using exchange rates of four major currency pairs over the period 2000 to 2015. Performance evaluation on out-of-sample data indicates that our approach is able to provide acceptably high returns on investment. Comparison with exhaustive search proves convincing performance of our approach.
Year
Venue
Field
2017
PAAMS (Workshops)
Market microstructure,Foreign exchange market,Microeconomics,Alternative trading system,Electronic trading,Financial market,Flash trading,Algorithmic trading,Open outcry,Business
DocType
Citations 
PageRank 
Conference
0
0.34
References 
Authors
4
2
Name
Order
Citations
PageRank
Svitlana Galeshchuk1304.36
Sumitra Mukherjee231131.75