Contents. Part I Methodologies

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1 1 Introduction BiologicallyInspiredAlgorithms ArtificialNeuralNetworks EvolutionaryComputation SocialSystems ArtificialImmuneSystems ComputerTradingonFinancialMarkets Challenges in the Modelling of Financial Markets Do PricesFollowaRandomWalk? AttackoftheAnomalies LinearModels StructureoftheBook Part I Methodologies 2 Neural Network Methodologies ATaxonomyofNNs TheMultiLayerPerceptron TraininganMLP PracticalIssuesinTrainingMLPs RecurrentNetworks RadialBasisFunctionNetworks Self-organisingMaps ImplementingaSOM Summary Evolutionary Methodologies GeneticAlgorithm CanonicalGA ExampleoftheGA... 41

.. 10 Part I Methodologies 2 Neural Network Methodologies... 15 2.1 ATaxonomyofNNs... 15 2.2 TheMultiLayerPerceptron... 16 2.2.1 TraininganMLP... 20 2.2.2 PracticalIssuesinTrainingMLPs... 23 2.2.3 RecurrentNetworks.

2 XII Contents ExtendingtheCanonicalGA SchemaandBuildingBlocks DifferentialEvolution DEAlgorithm GeneticProgramming MoreComplexGPArchitectures CombiningEAandMLPMethodologies Applying EAstoEvolveTradingRules Recent Developments in Evolutionary Computation Summary Grammatical Evolution GrammaticalEvolution BiologicalAnalogy MappingProcess MappingExample MutationandCrossoverinGE Recent Developments in GE SearchEngine Meta-grammars πge ApplicationsandAlternativeGrammars Summary The Particle Swarm Model PSOAlgorithm ConstrictionCoefficientVersionofPSO ParameterSettingsforPSO DiscretePSO ComparingPSOandtheGA MLP-SwarmHybrids GrammaticalSwarm ExampleofaFinancialApplicationofPSO Recent Developments in PSO Summary Ant Colony Models Ant-ForagingModels Ant-ForagingAlgorithm AFinancialApplicationofACO Ant-InspiredClassificationAlgorithms HybridAntModels Summary...106

.. 73 4.1 GrammaticalEvolution... 73 4.1.1 BiologicalAnalogy... 74 4.1.2 MappingProcess... 76 4.1.3 MappingExample... 79 4.2 MutationandCrossoverinGE... 82 4.3 Recent Developments in GE.............................. 84 4.

3 XIII 7 Artificial Immune Systems OverviewofNaturalImmuneSystems InnatevsAdaptiveImmunity ComponentsoftheImmuneSystem DesigningArtificialImmuneAlgorithms NegativeSelectionAlgorithm Clonal Expansion and Selection Algorithm Financial Application of the Negative Selection Algorithm Summary Part II Model Development 8 Model Development Process ProjectGoals WhattoForecast? What Performance Measure Is Appropriate? DataCollection TradingPhilosophy HowMuchDataIsEnough? SelectingandPreprocessingtheData Selection Preprocessing PostprocessingtheOutput EntryStrategy ExitStrategy MoneyManagement ValidatingtheSystem ImplementationandMaintenance Summary Technical Analysis TechnicalIndicators MovingAverage Momentum Breakout Stochastic Oscillators VolumeData OtherIndicators Using Technical Indicators in a Trading System Summary...155

..118 Part II Model Development 8 Model Development Process...121 8.1 ProjectGoals...121 8.1.1 WhattoForecast?...121 8.1.2 What Performance Measure Is Appropriate?.......... 123 8.2 DataCollection.

4 XIV Contents Part III Case Studies 10 Overview of Case Studies Index Prediction Using MLPs Methodology ModelSelection ModelStacking Results RMSEandCorrelation TradingSystem Discussion Index Prediction Using a MLP-GA Hybrid Methodology ModelConstruction Results MLP-GA AnalysisofWeightVectors Discussion Index Trading Using Grammatical Evolution Methodology GESystemSetup Results Discussion Adaptive Trading Using Grammatical Evolution Introduction Methodology MovingWindow VariablePositionTrading ReturnCalculation Results TrainingReturns Out-of-SampleReturns Discussion Intra-day Trading Using Grammatical Evolution Background Methodology TradingSystem GESystemSetup Results Discussion...210

2 Results...178 12.2.1 MLP-GA...179 12.2.2 AnalysisofWeightVectors...180 12.3 Discussion...182 13 Index Trading Using Grammatical Evolution...183 13.1 Methodology...183 13.1.1 GESystemSetup...188 13.

5 XV 16 Automatic Generation of Foreign Exchange Trading Rules Background Methodology Results US-STG US-Yen US-DM Discussion Corporate Failure Prediction Using Grammatical Evolution Background DefinitionofCorporateFailure ExplanatoryVariables Methodology GESystemSetup LDAMethod Results FormoftheEvolvedClassifiers Discussion Corporate Failure Prediction Using an Ant Model Background Methodology AntSystem Results Discussion Bond Rating Using Grammatical Evolution Background RatingProcess Methodology Results Discussion Bond Rating Using AIS Methodology Results Discussion Wrap-up References Index...271

..223 17.2.2 LDAMethod...224 17.3 Results...224 17.3.1 FormoftheEvolvedClassifiers...225 17.4 Discussion...226 18 Corporate Failure Prediction Using an Ant Model...229 18.1 Background...229 18.2 Methodology.

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