著者

長尾 優 森 直樹 中島 義裕 松本 啓之亮

出版者

一般社団法人 システム制御情報学会

雑誌

システム制御情報学会論文誌 (ISSN:13425668)

巻号頁・発行日

vol.21, no.12, pp.400-407, 2008-12-15 (Released:2011-10-13)

参考文献数

14

被引用文献数

1 1

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Recently, the number of trader by internet securities companies has increased rapidly. There have been reported lots of studies on forecast of stock prices based on the closing price. However, there are few researches which utilize real time information such as bid and ask price. In this paper, the authors proposed a novel method of evolving day-trade strategies by means of the genetic programming which utilized only order book information. The performance of the proposed method is shown by means of Day Trade Agent Framework (DTAF).