Evolving Trading Strategies for a Limit-order Book Generator

被引：0
|
作者：
Whigham, Peter A. [1 ]
Withanawasam, Rasika [1 ]
Crack, Timothy [1 ]
Premachandra, I. M. [1 ]
机构：
[1] Univ Otago, Sch Business, Dunedin, New Zealand
来源：
2010 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION (CEC) | 2010年
关键词：
D O I：
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中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
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 [1], 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.
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页数：8
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