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A genetic approach to the design of autonomous agents for futures trading

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Abstract

We propose a genetic algorithm-based method for designing an autonomous trader agent. The task of the proposed method is to find an optimal set of fuzzy if–then rules that best represents the behavior of a target trader agent. A highly profitable trader agent is used as the target in the proposed genetic algorithm. A trading history for the target agent is obtained from a series of futures trading. The antecedent part of fuzzy if–then rules considers time-series data of spot prices, while the consequent part indicates the order of trade (Buy, Sell, or No action) with its degree of certainty. The proposed method determines the antecedent part of fuzzy if–then rules. The consequent part of fuzzy if–then rules is automatically determined from the trading history of the target trader agent. The autonomous trader agent designed by the proposed genetic algorithm consists of a fixed number of fuzzy if–then rules. The decision of the autonomous trader agent is made by fuzzy inference from the time-series data of spot prices.

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Authors and Affiliations

  1. Graduate School of Engineering, Osaka Prefecture University, Gakuen-cho 1-1, Sakai, Naka-ku, Osaka, 599-8531, Japan

    Tomoharu Nakashima, Yasuyuki Yokota, Yukio Shoji & Hisao Ishibuchi

Authors
  1. Tomoharu Nakashima
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  2. Yasuyuki Yokota
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  3. Yukio Shoji
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  4. Hisao Ishibuchi
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Corresponding author

Correspondence to Tomoharu Nakashima.

Additional information

This work was presented in part at the 11th International Symposium on Artificial Life and Robotics, Oita, Japan, January 23–25, 2006

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Nakashima, T., Yokota, Y., Shoji, Y. et al. A genetic approach to the design of autonomous agents for futures trading. Artif Life Robotics 11, 145–148 (2007). https://doi.org/10.1007/s10015-007-0418-z

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  • DOI: https://doi.org/10.1007/s10015-007-0418-z

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