UTCS Artificial Intelligence
courses
talks/events
demos
people
projects
publications
software/data
labs
areas
admin
Designing Safe, Profitable Automated Stock Trading Agents Using Evolutionary Algorithms (2006)
Harish Subramanian, Subramanian Ramamoorthy,
Peter Stone
, and Benjamin Kuipers
Trading rules are widely used by practitioners as an effective means to mechanize aspects of their reasoning about stock price trends. However, due to the simplicity of these rules, each rule is susceptible to poor behavior in specific types of adverse market conditions. Naive combinations of such rules are not very effective in mitigating the weaknesses of component rules. We demonstrate that sophisticated approaches to combining these trading rules enable us to overcome these problems and gainfully utilize them in autonomous agents. We achieve this combination through the use of genetic algorithms and genetic programs. Further, we show that it is possible to use qualitative characterizations of stochastic dynamics to improve the performance of these agents by delineating safe, or feasible, regions. We present the results of experiments conducted within the Penn-Lehman Automated Trading project. In this way we are able to demonstrate that autonomous agents can achieve consistent profitability in a variety of market conditions, in ways that are human competitive.
View:
PDF
,
PS
,
HTML
Citation:
In
Proceedings of the Genetic and Evolutionary Computation Conference
, July 2006.
Bibtex:
@InProceedings{GECCO06-trading, title={Designing Safe, Profitable Automated Stock Trading Agents Using Evolutionary Algorithms}, author={Harish Subramanian and Subramanian Ramamoorthy and Peter Stone and Benjamin Kuipers}, booktitle={Proceedings of the Genetic and Evolutionary Computation Conference}, month={July}, url="http://www.cs.utexas.edu/users/ai-lab?GECCO06-trading", year={2006} }
People
Peter Stone
Faculty
pstone [at] cs utexas edu
Areas of Interest
Planning
Trading Agents
Labs
Learning Agents