Identifying Market Price Levels Using Differential Evolution

Simple item page
dc.contributor.authorMayo, Michael
dc.coverage.spatialConference held at Vienna, Austriaen_NZ
dc.date.accessioned2013-05-14T04:24:31Z
dc.date.available2013-05-14T04:24:31Z
dc.date.copyright2013
dc.date.issued2013
dc.description.abstractEvolutionary data mining is used in this paper to investigate the concept of support and resistance levels in financial markets. Specifically, Differential Evolution is used to learn support/resistance levels from price data. The presence of these levels is then tested in out-of-sample data. Our results from a set of experiments covering five years worth of daily data across nine different US markets show that there is statistical evidence for price levels in certain markets, and that Differential Evolution can uncover them.en_NZ
dc.format.mimetypeapplication/pdf
dc.identifier.citationMayo, M. (2013). Identifying market price levels using differential evolution. In A.I. A.I. Esparcia-Alc´azar et al. (Eds.): 16th European Conference, EvoApplications 2013, Vienna, Austria, April 3-5, 2013, Lecture Notes in Computer Science, Volume 7835 (pp. 203-212). Berlin, Germany: Springer-Verlag Berlin Heidelberg.en_NZ
dc.identifier.doi10.1007/978-3-642-37192-9_21en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/7607
dc.language.isoen
dc.publisherSpringer Berlin Heidelbergen_NZ
dc.relation.isPartOfProc 16th European Conference on Applications of Evolutionary Computationen_NZ
dc.relation.urihttp://link.springer.com/chapter/10.1007%2F978-3-642-37192-9_21#en_NZ
dc.rightsThis is an author’s accepted version. The original publication is available at www.springerlink.com.
dc.sourceEvoApplications 2013en_NZ
dc.subjectdifferential evolutionen_NZ
dc.subjectfinanceen_NZ
dc.subjectsupport and resistanceen_NZ
dc.subjectMachine learning
dc.titleIdentifying Market Price Levels Using Differential Evolutionen_NZ
dc.typeConference Contributionen_NZ
dspace.entity.typePublication
pubs.begin-page203en_NZ
pubs.end-page212en_NZ
pubs.finish-date2013-04-05en_NZ
pubs.place-of-publicationGermanyen_NZ
pubs.start-date2013-04-03en_NZ
pubs.volumeLNCS 7835en_NZ

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
price levels.pdf
Size:
321.88 KB
Format:
Adobe Portable Document Format
Description:
Download

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Computing and Mathematical Sciences Papers