Identifying Market Price Levels Using Differential Evolution

Mayo, Michael

doi:10.1007/978-3-642-37192-9_21

Files

price levels.pdf

321.8Kb

Mayo, 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.

Permanent Research Commons link: https://hdl.handle.net/10289/7607

Abstract

Evolutionary 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.

Date

2013

Type

Conference Contribution

Publisher

Springer Berlin Heidelberg

Rights

This is an author’s accepted version. The original publication is available at www.springerlink.com.

Collections

Computing and Mathematical Sciences Papers [1237]