Modesty is the best policy: automatic discovery of viable forecasting goals in financial data

Authors:
Fiacc Larkin;Conor Ryan
Affiliations:
Biocomputing and Developmental Systems, University of Limerick, Ireland;Biocomputing and Developmental Systems, University of Limerick, Ireland
Venue:
EvoCOMNET'10 Proceedings of the 2010 international conference on Applications of Evolutionary Computation - Volume Part II
Year:
2010

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Abstract

This paper presents a new approach to financial forecasting, inspired by strategies used by market traders. We demonstrate that a trading system with the relatively modest task of spotting trends in progress rather than the usual goal of spotting peaks and troughs can produce highly accurate forecasts. This is achieved by using a Genetic Algorithm to select appropriate training cases which are then fed to a trading system composed of multiple GP derived trees.