Knowledge-intensive genetic discovery in foreign exchange markets
نویسندگان
چکیده
منابع مشابه
Knowledge-intensive genetic discovery in foreign exchange markets
This paper considers the discovery of trading decision models from high-frequency foreign exchange (FX) markets data using genetic programming (GP). It presents a domain-related structuring of the representation and incorporation of semantic restrictions for GP-based search of trading decision models. A defined symmetry property provides a basis for the semantics of FX trading models. The symme...
متن کاملDo Futures Lead Price Discovery in Electronic Foreign Exchange Markets?
Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...
متن کاملPrice Discovery on Foreign Exchange Markets with Differentially Informed Traders
This paper uses Reuters high-frequency exchange rate data to investigate the contributions to the price discovery process by individual banks in the foreign exchange market. We propose multivariate time series models in calendar time as well as in tick time to study the dynamic relations between the quotes of individual banks. We investigate the hypothesis that German banks are price leaders in...
متن کاملTiming Foreign Exchange Markets
Priced level, slope, and volatility risk factors recently proposed in the finance literature help explain long-standing puzzles related to the cross-section of carry trade returns. In this paper, we examine whether the information contained in these global factors allows foreign exchange market speculators in individual currencies to successfully time the direction of their carry trades, both w...
متن کاملIndeterminacy in Foreign Exchange Markets
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and an error process. The presence of the latter, which dominates at short time scales, leads to indeterminacy principle in finance. Furthermore, dynamics does ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Evolutionary Computation
سال: 2002
ISSN: 1089-778X
DOI: 10.1109/4235.996016