Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/54571

TitleAutonomous Forex trading agents
Author(s)Barbosa, Rui Pedro
Belo, Orlando
KeywordsForex trading
data mining
hybrid agents
autonomy
Issue date2008
PublisherSpringer-Verlag Berlin
JournalLecture Notes in Artificial Intelligence (subseries of Lecture Notes in Computer Science)
Abstract(s)In this paper we describe an infrastructure for implementing hybrid intelligent agents with the ability to trade in the Forex Market without requiring human supervision. This infrastructure is composed of three modules. The "Intuition Module", implemented using an Ensemble Model, is responsible for performing pattern recognition and predicting the direction of the exchange rate. The "A Posteriori Knowledge Module", implemented using a Case-Based Reasoning System, enables the agents to learn from empirical experience and is responsible for suggesting how much to invest in each trade. The "A Priori Knowledge Module", implemented using a Rule-Based Expert System, enables the agents to incorporate non-experiential knowledge in their trading decisions. This infrastructure was used to develop an agent capable of trading the USD/JPY currency pair with a 6 hours timeframe. The agent's simulated and live trading results lead us to believe our infrastructure can be of practical interest to the traditional trading community.
TypeConference paper
URIhttp://hdl.handle.net/1822/54571
ISBN9783540707172
DOI10.1007/978-3-540-70720-2_30
ISSN0302-9743
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:CAlg - Artigos em livros de atas/Papers in proceedings

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