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

Fiacc Larkin; Conor Ryan

doi:10.1007/978-3-642-12242-2_21

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

Fiacc Larkin, Conor Ryan

Department of Computer Science & Information Systems

University of Limerick

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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.

Original language	English
Title of host publication	Applications of Evolutionary Computation - EvoApplications 2010
Subtitle of host publication	EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings
Publisher	Springer Verlag
Pages	202-211
Number of pages	10
Edition	PART 2
ISBN (Print)	3642122418, 9783642122415
DOIs	https://doi.org/10.1007/978-3-642-12242-2_21
Publication status	Published - 2010
Event	EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, EvoApplications 2010 - Istanbul, Turkey Duration: 7 Apr 2010 → 9 Apr 2010

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Number	PART 2
Volume	6025 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, EvoApplications 2010
Country/Territory	Turkey
City	Istanbul
Period	7/04/10 → 9/04/10

Access to Document

10.1007/978-3-642-12242-2_21

Cite this

Larkin, F., & Ryan, C. (2010). Modesty is the best policy: Automatic discovery of viable forecasting goals in financial data. In Applications of Evolutionary Computation - EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings (PART 2 ed., pp. 202-211). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 6025 LNCS, No. PART 2). Springer Verlag. https://doi.org/10.1007/978-3-642-12242-2_21

Larkin, Fiacc ; Ryan, Conor. / Modesty is the best policy : Automatic discovery of viable forecasting goals in financial data. Applications of Evolutionary Computation - EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings. PART 2. ed. Springer Verlag, 2010. pp. 202-211 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); PART 2).

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title = "Modesty is the best policy: Automatic discovery of viable forecasting goals in financial data",

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.",

author = "Fiacc Larkin and Conor Ryan",

year = "2010",

doi = "10.1007/978-3-642-12242-2_21",

language = "English",

isbn = "3642122418",

series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",

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number = "PART 2",

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booktitle = "Applications of Evolutionary Computation - EvoApplications 2010",

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Larkin, F & Ryan, C 2010, Modesty is the best policy: Automatic discovery of viable forecasting goals in financial data. in Applications of Evolutionary Computation - EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings. PART 2 edn, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), no. PART 2, vol. 6025 LNCS, Springer Verlag, pp. 202-211, EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, EvoApplications 2010, Istanbul, Turkey, 7/04/10. https://doi.org/10.1007/978-3-642-12242-2_21

Modesty is the best policy: Automatic discovery of viable forecasting goals in financial data. / Larkin, Fiacc; Ryan, Conor.
Applications of Evolutionary Computation - EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings. PART 2. ed. Springer Verlag, 2010. p. 202-211 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 6025 LNCS, No. PART 2).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Larkin F, Ryan C. Modesty is the best policy: Automatic discovery of viable forecasting goals in financial data. In Applications of Evolutionary Computation - EvoApplications 2010: EvoCOMNET, EvoENVIRONMENT, EvoFIN, EvoMUSART, and EvoTRANSLOG, Proceedings. PART 2 ed. Springer Verlag. 2010. p. 202-211. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); PART 2). doi: 10.1007/978-3-642-12242-2_21

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

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