Grammatical evolution-based ensembles for algorithmic trading

The literature on trading algorithms based on Grammatical Evolution commonly presents solutions that rely on static approaches. Given the prevalence of structural change in financial time series, that implies that the rules might have to be updated at predefined time intervals. We introduce an alternative solution based on an ensemble of models which are trained using a sliding window. The structure of the ensemble combines the flexibility required to adapt to structural changes with the need to control for the excessive transaction costs associated with over-trading. The performance of the algorithm is benchmarked against five different comparable strategies that include the traditional static approach, the generation of trading rules that are used for single time period and are subsequently discarded, and three alternatives based on ensembles with different voting schemes. The experimental results, based on market data, show that the suggested approach offers very competitive results against comparable solutions and highlight the importance of containing transaction costs.The authors would like to acknowledge the nancial support of the Spanish Ministry of Science, Innovation and Universities under project PGC2018-646 096849-B-I00 (MCFin)

Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

The development of hybrid intelligent systems for technical analysis based equivolume charting

This dissertation proposes the development of a hybrid intelligent system applied to technical analysis based equivolume charting for stock trading. A Neuro-Fuzzy based Genetic Algorithms (NF-GA) system of the Volume Adjusted Moving Average (VAMA) membership functions is introduced to evaluate the effectiveness of using a hybrid intelligent system that integrates neural networks, fuzzy logic, and genetic algorithms techniques for increasing the efficiency of technical analysis based equivolume charting for trading stocks --Introduction, page 1

Energy security vs. climate change: Theoretical framework development and experience in selected EU electricity markets

Electricity generation in different countries is based on a variety of fuel mixes compromising solid fossil fuels, oil, natural gas, nuclear and renewable energy sources. While in the past, national energy agendas have directed the optimal utilisation of domestic resources as a means to achieve supply security, today's environmental debates are influencing the electricity fuel mix in new directions. In this paper we examine the electricity sectors of Germany, Greece, Poland and the UK in an attempt to identify the policy and technology choices implemented in each country. The country selection is deliberately made to facilitate an extended overview of national agendas, varying domestic energy resources and industrialisation levels but still within the common EU framework. The focus is placed on policies related to two objectives, climate change mitigation and improving electricity supply security. The theoretical framework developed provides the possibility to assess the electricity sector independence at a national level using a multi-parametric analysis of the fuel mix data. Through a comparative assessment of the knowledge gained in different countries the authors provide insights and suggestions that allow for an improved understanding of the trade-offs and synergies that various policy options may introduce

Architecting system of systems: artificial life analysis of financial market behavior

This research study focuses on developing a framework that can be utilized by system architects to understand the emergent behavior of system architectures. The objective is to design a framework that is modular and flexible in providing different ways of modeling sub-systems of System of Systems. At the same time, the framework should capture the adaptive behavior of the system since evolution is one of the key characteristics of System of Systems. Another objective is to design the framework so that humans can be incorporated into the analysis. The framework should help system architects understand the behavior as well as promoters or inhibitors of change in human systems. Computational intelligence tools have been successfully used in analysis of Complex Adaptive Systems. Since a System of Systems is a collection of Complex Adaptive Systems, a framework utilizing combination of these tools can be developed. Financial markets are selected to demonstrate the various architectures developed from the analysis framework --Introduction, page 3

Water Rights and Water Allocation: Issues and Challenges for Asia

The primary audience for this report is management and staff working in water resources agencies in Asia, particularly those in river basin organizations (RBOs) in their various forms. The roles and responsibilities of RBOs vary considerably and are evolving as pressureson water resources are becoming more severe. Although this report seeks to share knowledge about the fundamentals and application of waterrights and allocation, it attempts to do so with a practical focus

A survey on financial applications of metaheuristics

Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during the last decades to support complex decision-making in a number of fields, such as logistics and transportation, telecommunication networks, bioinformatics, finance, and the like. The continuous increase in computing power, together with advancements in metaheuristics frameworks and parallelization strategies, are empowering these types of algorithms as one of the best alternatives to solve rich and real-life combinatorial optimization problems that arise in a number of financial and banking activities. This article reviews some of the works related to the use of metaheuristics in solving both classical and emergent problems in the finance arena. A non-exhaustive list of examples includes rich portfolio optimization, index tracking, enhanced indexation, credit risk, stock investments, financial project scheduling, option pricing, feature selection, bankruptcy and financial distress prediction, and credit risk assessment. This article also discusses some open opportunities for researchers in the field, and forecast the evolution of metaheuristics to include real-life uncertainty conditions into the optimization problems being considered.This work has been partially supported by the Spanish Ministry of Economy and Competitiveness (TRA2013-48180-C3-P, TRA2015-71883-REDT), FEDER, and the Universitat Jaume I mobility program (E-2015-36)

Estimating Directional Changes Trend Reversal in Forex Using Machine Learning

Most forecasting algorithms use a physical time scale data to study price movement in financial markets by taking snapshots in fixed schedule, making the flow of time discontinuous. The use of a physical time scale can make traders oblivious to significant activities in the market, which poses risks. For example, currency risk, the risk that exchange rate will change. Directional changes is a different and newer approach of taking snapshot of the market, which uses an event-based time scale. This approach summarises data into alternating trends called upward directional change and downward directional change according to a change in price a trader considers to be significant, which is expressed as a threshold. The trends in the summary are split into directional change (DC) and overshoot (OS) events. In this work, we propose a novel DC-based framework, which uses machine learning algorithms to forecast when the next, alternate trend is expected to begin. First, we present a genetic programming (GP) algorithm that evolves equations that express linear and non-linear relationships between the length of DC and OS events in a given dataset. Awareness of DC event and OS event lengths provide traders with an idea of when DC trends are expected to reverse and thus take appropriate action to increase profit or mitigate risk. Second, DC trends can be categorised into two distinct types: (1) trends with OS events; and (2) trends without OS events(i.e. OS event length is 0). Trends with OS events are those that continue beyond a period when they were first observed and trends without OS event are others that ends as soon as they were observed. To further improve trend reversal estimation accuracy, we identified these two categorises using classification techniques and estimated OS event length for trends that belong in the first category. We appraised whether this new knowledge could lead to an even greater excess return. Third, our novel trend reversal estimation approach was then used as part of a novel genetic algorithm (GA) based trading strategy. The strategy embedded an optimised trend reversal forecasting algorithm that was based on trend reversal point forecasted by multiple thresholds. We assessed the efficiency of our framework (i.e., a novel trend reversal approach and an optimised trading strategy) by performing an in-depth investigation. To assess our approach and evaluate the extent to which it could be generalised in Forex markets, we used five tailored thresholds to create 1000 DC datasets from 10, monthly 10- minute physical time data of 20 major Forex markets (i.e 5 thresholds * 10 months * 20 currency pairs). We compared our results to six benchmarks techniques, both DC and non-DC based, such as technical analysis and buy-and-hold. Our findings showed that our proposed approach can return a significantly higher profit at reduced risk, and statistically outperformed the other trading strategies compareds in a number of different performance metrics