Predicting the tick-wise price fluctuations by means of evolutionary computation

Proceedings of the 2004 Congress on Evolutionary Computation, CEC2004

Volumn 1, Issue , 2004, Pages 955-958

  Tanaka Yamawaki, Mieko ^a   Motoyama, Tomohiro ^a  

^a TOTTORI UNIVERSITY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

CONDITIONAL PROBABILITY; GENETIC PROGRAMMING; PRICE DETERMINATION; PRICE FLUCTUATIONS;

APPROXIMATION THEORY; ECONOMICS; MATHEMATICAL MODELS; OPTIMIZATION; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES; STATISTICS;

EVOLUTIONARY ALGORITHMS;

EID: 4344683143     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (6)

1. Christopher Neely, Paul Weller, and Rob Dittmar, "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach", Journal of Financial and Quantitative Analysis, vol. 32, 1997, pp.405-426.
2. R.N. Mantegna and H.E. Stanley, "Scaling behavior in the dynamics of an economic index" Nature, 376, pp. 46-49, 1995.
3. Tohru Ohira, et al., "Predictability of currency market exchange", Physica A, 308, pp.368-374, 2002.
4. Mieko Tanaka-Yamawaki, "Stability of Markovian structure observed in high frequency foreign exchange data", Annals of Institute of Statistical Mathematics (Kluwer) vol.55 no.2, pp.437-446, 2003.
5. Mieko Tanaka-Yamawaki, "On the predictability of financial time series", Knowledge-Based Intelligent Information and Engineering Systems: Proceedings of 7 th International Conference, KES 2003, Oxford, UK, September 2003, part 1 (Springer. LNAI 2773, ed. V. Palade, R. J. Hewlett and L. Jain), pp.1100-1108.
6. Mieko Tanaka-Yamawaki and Tomohiro Motoyama, "Evolution of investment strategy in an environment offered by the real tick data", Proceedings of the 9-th International Symposium on Artificial Life and Robotics, Beppu, Oita, January 28-30, 2004, pp. 313-316.