An Evolutionary Method for Financial Forecasting in Microscopic High-Speed Trading Environment.
The advancement of information technology in financial applications nowadays have led to fast market-driven events that prompt flash decision-making and actions issued by computer algorithms. As a result, today's markets experience intense activity in the highly dynamic environment where trading systems respond to others at a much faster pace than before. This new breed of technology involves the implementation of high-speed trading strategies which generate significant portion of activity in the financial markets and present researchers with a wealth of information not available in traditional low-speed trading environments. In this study, we aim at developing feasible computational intelligence methodologies, particularly genetic algorithms (GA), to shed light on high-speed trading research using price data of stocks on the microscopic level. Our empirical results show that the proposed GA-based system is able to improve the accuracy of the prediction significantly for price movement, and we expect this GA-based methodology to advance the current state of research for high-speed trading and other relevant financial applications.
Dept. of Computer Science and Information Engineering, National University of Kaohsiung, Kaohsiung, Taiwan.
Chien-Feng
0000-0002-0246-287X
CF
Huang
Dept. of Computer Science and Information Engineering, National University of Kaohsiung, Kaohsiung, Taiwan.
Hsu-Chih
HC
Li
D000465:Algorithms; D001185:Artificial Intelligence; D003132:Commerce / Q000191:economics / Q000379:methods / Q000639:trends; D004777:Environment; D005544:Forecasting; D006801:Humans; D007449:Investments / Q000191:economics; D018803:Models, Economic; D013624:Taiwan