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      Identifying Market Price Levels Using Differential Evolution

      Mayo, Michael
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      price levels.pdf
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      DOI
       10.1007/978-3-642-37192-9_21
      Link
       link.springer.com
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      Citation
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      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.
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      • Computing and Mathematical Sciences Papers [1455]
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