System for foreign exchange trading using genetic algorithms and reinforcement learning

Foreign exchange trading has emerged recently as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process will be very helpful. A major issue for traders in the deregulated Foreign Exchange Market is when to sell and when to buy a particular currency in order to maximize profit. This paper presents novel trading strategies based on the machine learning methods of genetic algorithms and reinforcement learning.

The cross-entropy method for network reliability estimation

Consider a network of unreliable links, modelling for example a communication network. Estimating the reliability of the network-expressed as the probability that certain nodes in the network are connected-is a computationally difficult task. In this paper we study how the Cross-Entropy method can be used to obtain more efficient network reliability estimation procedures. Three techniques of estimation are considered: Crude Monte Carlo and the more sophisticated Permutation Monte Carlo and Merge Process. We show that the Cross-Entropy method yields a speed-up over all three techniques.

An identification tool for the Australian weedy Sporobolus species based on random amplified polymorphic DNA (RAPD) profiles

Based on morphological features alone, there is considerable difficulty in identifying the 5 most economically damaging weed species of Sporobolus [ viz. S. pyramidalis P. Beauv., S. natalensis ( Steud.) Dur and Schinz, S. fertilis ( Steud.) Clayton, S. africanus (Poir.) Robyns and Tourney, and S. jacquemontii Kunth.] found in Australia. A polymerase chain reaction (PCR)-based random amplified polymorphic DNA ( RAPD) technique was used to create a series of genetic markers that could positively identify the 5 major weeds from the other less damaging weedy and native Sporobolus species. In the initial RAPD pro. ling experiment, using arbitrarily selected primers and involving 12 species of Sporobolus, 12 genetic markers were found that, when used in combination, could consistently identify the 5 weedy species from all others. Of these 12 markers, the most diagnostic were UBC51(490) for S. pyramidalis and S. natalensis; UBC43(310,2000,2100) for S. fertilis and S. africanus; and OPA20(850) and UBC43(470) for S. jacquemontii. Species-specific markers could be found only for S. jacquemontii. In an effort to understand why there was difficulty in obtaining species-specific markers for some of the weedy species, a RAPD data matrix was created using 40 RAPD products. These 40 products amplified by 6 random primers from 45 individuals belonging to 12 species, were then subjected to numerical taxonomy and multivariate system (NTSYS pc version 1.70) analysis. The RAPD similarity matrix generated from the analysis indicated that S. pyramidalis was genetically more similar to S. natalensis than to other species of the 'S. indicus complex'. Similarly, S. jacquemontii was more similar to S. pyramidalis, and S. fertilis was more similar to S. africanus than to other species of the complex. Sporobolus pyramidalis, S. jacquemontii, S. africanus, and S. creber exhibited a low within-species genetic diversity, whereas high genetic diversity was observed within S. natalensis, S. fertilis, S. sessilis, S. elongates, and S. laxus. Cluster analysis placed all of the introduced species ( major and minor weedy species) into one major cluster, with S. pyramidalis and S. natalensis in one distinct subcluster and S. fertilis and S. africanus in another. The native species formed separate clusters in the phenograms. The close genetic similarity of S. pyramidalis to S. natalensis, and S. fertilis to S. africanus may explain the difficulty in obtaining RAPD species-specific markers. The importance of these results will be within the Australian dairy and beef industries and will aid in the development of integrated management strategy for these weeds.

Heavy tails, importance sampling and cross-entropy

We consider the problem of estimating P(Yi + (...) + Y-n > x) by importance sampling when the Yi are i.i.d. and heavy-tailed. The idea is to exploit the cross-entropy method as a toot for choosing good parameters in the importance sampling distribution; in doing so, we use the asymptotic description that given P(Y-1 + (...) + Y-n > x), n - 1 of the Yi have distribution F and one the conditional distribution of Y given Y > x. We show in some specific parametric examples (Pareto and Weibull) how this leads to precise answers which, as demonstrated numerically, are close to being variance minimal within the parametric class under consideration. Related problems for M/G/l and GI/G/l queues are also discussed.

Adoption of a sedation scoring system and sedation guideline in an intensive care unit

Aim. The paper presents a study assessing the rate of adoption of a sedation scoring system and sedation guideline. Background. Clinical practice guidelines including sedation guidelines have been shown to improve patient outcomes by standardizing care. In particular sedation guidelines have been shown to be beneficial for intensive care patients by reducing the duration of ventilation. Despite the acceptance that clinical practice guidelines are beneficial, adoption rates are rarely measured. Adoption data may reveal other factors which contribute to improved outcomes. Therefore, the usefulness of the guideline may be more appropriately assessed by collecting adoption data. Method. A quasi-experimental pre-intervention and postintervention quality improvement design was used. Adoption was operationalized as documentation of sedation score every 4 hours and use of the sedation and analgesic medications suggested in the guideline. Adoption data were collected from patients' charts on a random day of the month; all patients in the intensive care unit on that day were assigned an adoption category. Sedation scoring system adoption data were collected before implementation of a sedation guideline, which was implemented using an intensive information-giving strategy, and guideline adoption data were fed back to bedside nurses. After implementation of the guideline, adoption data were collected for both the sedation scoring system and the guideline. The data were collected in the years 2002-2004. Findings. The sedation scoring system was not used extensively in the pre-intervention phase of the study; however, this improved in the postintervention phase. The findings suggest that the sedation guideline was gradually adopted following implementation in the postintervention phase of the study. Field notes taken during the implementation of the sedation scoring system and the guideline reveal widespread acceptance of both. Conclusion. Measurement of adoption is a complex process. Appropriate operationalization contributes to greater accuracy. Further investigation is warranted to establish the intensity and extent of implementation required to positively affect patient outcomes.

Anisotropy-based robust performance analysis of finite horizon linear discrete time varying systems

We consider a problem of robust performance analysis of linear discrete time varying systems on a bounded time interval. The system is represented in the state-space form. It is driven by a random input disturbance with imprecisely known probability distribution; this distributional uncertainty is described in terms of entropy. The worst-case performance of the system is quantified by its a-anisotropic norm. Computing the anisotropic norm is reduced to solving a set of difference Riccati and Lyapunov equations and a special form equation.

A scalarization technique for computing the power and exponential moments of gaussian random matrices

We consider the problems of computing the power and exponential moments EXs and EetX of square Gaussian random matrices X=A+BWC for positive integer s and real t, where W is a standard normal random vector and A, B, C are appropriately dimensioned constant matrices. We solve the problems by a matrix product scalarization technique and interpret the solutions in system-theoretic terms. The results of the paper are applicable to Bayesian prediction in multivariate autoregressive time series and mean-reverting diffusion processes.

A real-time asymmetric multiprocessor-reconfigurable system-on-chip architecture

We propose an asymmetric multi-processor SoC architecture, featuring a master CPU running uClinux, and multiple loosely-coupled slave CPUs running real-time threads assigned by the master CPU. Real-time SoC architectures often demand a compromise between a generic platform for different applications, and application-specific customizations to achieve performance requirements. Our proposed architecture offers a generic platform running a conventional embedded operating system providing a traditional software-oriented development approach, while multiple slave CPUs act as a dedicated independent real-time threads execution unit running in parallel of master CPU to achieve performance requirements. In this paper, the architecture is described, including the application / threading development environment. The performance of the architecture with several standard benchmark routines is also analysed.

An implementation of genetic algorithms as a basis for a trading system on the foreign exchange market

Foreign exchange trading has emerged in recent times as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process is very helpful. In this paper, we try to create such a system with a genetic algorithm engine to emulate trader behaviour on the foreign exchange market and to find the most profitable trading strategy.

Pool deck, C House, Coorparoo, Brisbane

View back towards house from deck. with Iwan (right) and filter room (left).

Pool deck, C House, Coorparoo, Brisbane

As seen from The Nest above

Pool deck, C House, Coorparoo, Brisbane

View towards house from pool deck. Iwan on right and stone clad filter room on left.

Pool deck, C House, Coorparoo, Brisbane

View of pool and deck with Iwan (left) and filter room (right).

Pool area wall, Q House, Chelmer, Brisbane

As seen from adjacent garden area.

Pool area wall, Q House, Chelmer, Brisbane

As seen from adjacent garden area.