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Foreign exchange trading using a learning classifier system

Stone, Christopher; Bull, Larry

Authors

Christopher Stone

Lawrence Bull Larry.Bull@uwe.ac.uk
School Director (Research & Enterprise) and Professor



Contributors

Ester Bernad�-Mansilla
Editor

John Holmes
Editor

Abstract

We apply a simple Learning Classifier System to a foreign exchange trading problem. The performance of the Learning Classifier System is compared to that of a Genetic Programming approach from the literature. The simple Learning Classifier System is able to achieve a positive excess return in simulated trading, but results are not yet fully competitive because the Learning Classifier System trades too frequently. However, the Learning Classifier System approach shows potential because returns are obtained with no offline training and the technique is inherently adaptive, unlike many of the machine learning methods currently employed for financial trading. © 2008 Springer-Verlag Berlin Heidelberg.

Citation

Stone, C., & Bull, L. (2008). Foreign exchange trading using a learning classifier system. Studies in Computational Intelligence, 125, 169-189. https://doi.org/10.1007/978-3-540-78979-6_8

Journal Article Type Article
Publication Date Jul 16, 2008
Journal Studies in Computational Intelligence
Print ISSN 1860-949X
Publisher Springer Verlag
Peer Reviewed Peer Reviewed
Volume 125
Pages 169-189
DOI https://doi.org/10.1007/978-3-540-78979-6_8
Keywords foreign exchange trading, learning classifier system
Public URL https://uwe-repository.worktribe.com/output/1022179
Publisher URL http://dx.doi.org/10.1007/978-3-540-78979-6_8