The Day Trading Strategy Evolution by means of Genetic Programming with Day Trade Agent Framework
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- NAGAO Masaru
- NEC Corporation
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- MORI Naoki
- Graduate School of Engineering, Osaka Prefecture University
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- NAKAJIMA Yoshihiro
- Graduate School of Economics, Osaka City University
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- MATSUMOTO Keinosuke
- Graduate School of Engineering, Osaka Prefecture University
Bibliographic Information
- Other Title
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- デイトレードエージェントフレームワークを用いた遺伝的プログラミングによる投資戦略の進化
- デイ トレード エージェント フレームワーク オ モチイタ イデンテキ プログラミング ニ ヨル トウシ センリャク ノ シンカ
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Description
Recently, the number of trader by internet securities companies has increased rapidly. There have been reported lots of studies on forecast of stock prices based on the closing price. However, there are few researches which utilize real time information such as bid and ask price. In this paper, the authors proposed a novel method of evolving day-trade strategies by means of the genetic programming which utilized only order book information. The performance of the proposed method is shown by means of Day Trade Agent Framework (DTAF).
Journal
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- Transactions of the Institute of Systems, Control and Information Engineers
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Transactions of the Institute of Systems, Control and Information Engineers 21 (12), 400-407, 2008
THE INSTITUTE OF SYSTEMS, CONTROL AND INFORMATION ENGINEERS (ISCIE)
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Details 詳細情報について
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- CRID
- 1390282680143406464
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- NII Article ID
- 10024059220
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- NII Book ID
- AN1013280X
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- ISSN
- 2185811X
- 13425668
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- NDL BIB ID
- 9733024
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- Text Lang
- ja
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- Data Source
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- JaLC
- NDL Search
- Crossref
- CiNii Articles
- KAKEN
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- Abstract License Flag
- Disallowed