Publicação
A diversified investment strategy using autonomous agents
| Resumo: | In a previously published article, we presented an architecture for implementing agents with the ability to trade autonomously in the Forex market. At the core of this architecture is an ensemble of classification and regression models that is used to predict the direction of the price of a currency pair. In this paper, we will describe a diversified investment strategy consisting of five agents which were implemented using that architecture. By simulating trades with 18 months of out-of-sample data, we will demonstrate that data mining models can produce profitable predictions, and that the trading risk can be diminished through investment diversification. |
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| Autores principais: | Barbosa, Rui Pedro |
| Outros Autores: | Belo, Orlando |
| Assunto: | Intelligent agents Forex trading |
| Ano: | 2010 |
| País: | Portugal |
| Tipo de documento: | comunicação em conferência |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | In a previously published article, we presented an architecture for implementing agents with the ability to trade autonomously in the Forex market. At the core of this architecture is an ensemble of classification and regression models that is used to predict the direction of the price of a currency pair. In this paper, we will describe a diversified investment strategy consisting of five agents which were implemented using that architecture. By simulating trades with 18 months of out-of-sample data, we will demonstrate that data mining models can produce profitable predictions, and that the trading risk can be diminished through investment diversification. |
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