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Evolving trading strategies for a limit-order book generator
Conference proceeding   Peer reviewed

Evolving trading strategies for a limit-order book generator

Peter A Whigham, Rasika Withanawasam, Timothy Crack and I M Premachandra
IEEE Congress on Evolutionary Computation, pp.1-8
07/2010
DOI: https://doi.org/10.1109/CEC.2010.5586114

Abstract

Books Computational modeling Data models Decision making Generators Grammar Noise measurement
A grammatical evolutionary model (GE) is used to evolve trading strategies for a limit-order book model. A modified version of a limit-order book generator, based on the original work of Maslov, is used to produce limit-order book tick data. The evolved trading strategies demonstrate profit-making ability even though the Maslov model is fundamentally based on random behaviour.

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