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Книга Development of Trading Systems using Genetic Programming with a Case Study Holger Hartmann

Development of Trading Systems using Genetic Programming with a Case Study

Автор: Holger Hartmann
Език: Английски език
Корици: С меки корици
Издател: Grin Verlag
Наличност: Външен склад
Изпращаме след 14-21 дни
62.83 € 122.89 лв
Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insu...

Информация за книгата

Автор
Holger Hartmann
Език
Английски език
Корици
Книга - С меки корици
Издадена
2008
страници
100
EAN
9783638913829
ISBN
3638913821
Enbook ID
01607080
Издател
Grin Verlag
Теглоt
316
Размери
210 x 297 x 7

Пълно описание

Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,7, University of Hamburg (Department Informatik), 69 entries in the bibliography, language: English, abstract: In this thesis Genetic Progrmming 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.

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