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.

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.

A machine learning approach to intraday trading on foreign exchange markets

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 will be very helpful. In this paper we try to create such a system using Machine learning approach to emulate trader behaviour on the Foreign Exchange market and to find the most profitable trading strategy.

The Role of Non-Market Valuation in Forest Management and Recreation Policy

Forests, and particularly those where native and mixed species are gown, provide a variety of non-wood values, important among which are recreation and environmental services. Substantial progress has been made in recent years in estimating economic values on these services. A considerable amount of research on forest values has been carried out recently in tropical and sub-tropical eastern Australia, some of which is reported in the following papers. The need for estimates of non-wood forest benefits is apparent, and it is clear that further development of techniques and a greater understanding of the way these values can be integrated into public-sector decision making is required.

Free-Surface Aeration and Momentum Exchange at a Bottom Outlet

This study aims to provide some new understanding of the air-water flow properties in high-velocity water jets discharging past an abrupt drop. Such a setup has been little studied to date despite the relevance to bottom outlets. Downstream of the step brink, the free-jet entrains air at both upper and lower air-water interfaces, as well as along the sides. An air-water shear layer develops at the lower nappe interface. At the lower nappe, the velocity redistribution was successfully modelled and the velocity field was found to be similar to that in two-dimensional wake flow. The results highlighted further two distinct flow regions. Close to the brink (Wex < 5000), the flow was dominated by momentum transfer. Further downstream (Wex > 5000), a strong competition between air bubble diffusion and momentum exchanges took place.

Differential patterns of Male and Female mtDNA exchange across the Atlantic Ocean in the blue mussel, Mytilus edulis

Comparisons among loci with differing modes of inheritance can reveal unexpected aspects of population history. We employ a multilocus approach to ask whether two types of independently assorting mitochondrial DNAs (maternally and paternally inherited: F- and M-mtDNA) and a nuclear locus (ITS) yield concordant estimates of gene flow and population divergence. The blue mussel, Mytilus edulis, is distributed on both North American and European coastlines and these populations are separated by the waters of the Atlantic Ocean. Gene flow across the Atlantic Ocean differs among loci, with F-mtDNA and ITS showing an imprint of some genetic interchange and M-mtDNA showing no evidence for gene flow. Gene flow of F-mtDNA and ITS causes trans-Atlantic population divergence times to be greatly underestimated for these loci, although a single trans-Atlantic population divergence time (1.2 MYA) can be accommodated by considering all three loci in combination in a coalescent framework. The apparent lack of gene flow for M-mtDNA is not readily explained by different dispersal capacities of male and female mussels. A genetic barrier to M-mtDNA exchange between North American and European mussel populations is likely to explain the observed pattern, perhaps associated with the double uniparental system of mitochondrial DNA inheritance.

Assessing the competitiveness of loss allocation methods in a deregulated electricity market

This paper critically assesses several loss allocation methods based on the type of competition each method promotes. This understanding assists in determining which method will promote more efficient network operations when implemented in deregulated electricity industries. The methods addressed in this paper include the pro rata [1], proportional sharing [2], loss formula [3], incremental [4], and a new method proposed by the authors of this paper, which is loop-based [5]. These methods are tested on a modified Nordic 32-bus network, where different case studies of different operating points are investigated. The varying results obtained for each allocation method at different operating points make it possible to distinguish methods that promote unhealthy competition from those that encourage better system operation.

A hybrid probabilistic criterion for market-based transmission expansion planning

Market-based transmission expansion planning gives information to investors on where is the most cost efficient place to invest and brings benefits to those who invest in this grid. However, both market issue and power system adequacy problems are system planers’ concern. In this paper, a hybrid probabilistic criterion of Expected Economical Loss (EEL) is proposed as an index to evaluate the systems’ overall expected economical losses during system operation in a competitive market. It stands on both investors’ and planner’s point of view and will further improves the traditional reliability cost. By applying EEL, it is possible for system planners to obtain a clear idea regarding the transmission network’s bottleneck and the amount of losses arises from this weak point. Sequentially, it enables planners to assess the worth of providing reliable services. Also, the EEL will contain valuable information for moneymen to undertake their investment. This index could truly reflect the random behaviors of power systems and uncertainties from electricity market. The performance of the EEL index is enhanced by applying Normalized Coefficient of Probability (NCP), so it can be utilized in large real power systems. A numerical example is carried out on IEEE Reliability Test System (RTS), which will show how the EEL can predict the current system bottleneck under future operational conditions and how to use EEL as one of planning objectives to determine future optimal plans. A well-known simulation method, Monte Carlo simulation, is employed to achieve the probabilistic characteristic of electricity market and Genetic Algorithms (GAs) is used as a multi-objective optimization tool.

Temperature dependence of the magnetic susceptibility for triangular-lattice antiferromagnets with spatially anisotropic exchange constants

We present the temperature dependence of the uniform susceptibility of spin-half quantum antiferromagnets on spatially anisotropic triangular lattices, using high-temperature series expansions. We consider a model with two exchange constants J1 and J2 on a lattice that interpolates between the limits of a square lattice (J1=0), a triangular lattice (J2=J1), and decoupled linear chains (J2=0). In all cases, the susceptibility, which has a Curie-Weiss behavior at high temperatures, rolls over and begins to decrease below a peak temperature Tp. Scaling the exchange constants to get the same peak temperature shows that the susceptibilities for the square lattice and linear chain limits have similar magnitudes near the peak. Maximum deviation arises near the triangular-lattice limit, where frustration leads to much smaller susceptibility and with a flatter temperature dependence. We compare our results to the inorganic materials Cs2CuCl4 and Cs2CuBr4 and to a number of organic molecular crystals. We find that the former (Cs2CuCl4 and Cs2CuBr4) are weakly frustrated and their exchange parameters determined through the temperature dependence of the susceptibility are in agreement with neutron-scattering measurements. In contrast, the organic materials considered are strongly frustrated with exchange parameters near the isotropic triangular-lattice limit.

APSR Market Day

Notes for presentation

The role of affect, fairness, and social perception in team member exchange

Accumulating evidence suggests that Team-member exchange (TMX) influences employee work attitudes and behaviours separately from the effects of leader-member exchange (LMX). In particular, little is known of the effect of LMX differentiation (in-group versus out-group) as a process of social exhange that can, in turn, affect TMX quality. To explore this phenomenon, this chapter presents a multi-level model of TMX in organizations, which incorporates LMX differentiation, team identification, team member affect at the individual level, and fairness of LMX differentiation and affective climate at the group-level. We conclude with a discussion of the implications of our model for theory, research, and practice.

Effect of ionic strength and clay mineralogy on Na-Ca exchange and the SAR-ESP relationship

The relationship between sodium adsorption ratio (SAR) and exchangeable sodium percentage (ESP) for all soils has traditionally been assumed to be similar to that developed by the United States Salinity Laboratory (USSL) in 1954. However, under certain conditions, this relationship has been shown not to be constant, but to vary with both ionic strength and clay mineralogy. We conducted a detailed experiment to determine the effect of ionic strength on the Na+-Ca2+ exchange of four clay minerals (kaolinite, illite, pyrophyllite, and montmorillonite), with results related to the diffuse double-layer (DDL) model. Clays in which external exchange sites dominated (kaolinite and pyrophyllite) tended to show an overall preference for Na+, with the magnitude of this preference increasing with decreasing ESP. For these external surfaces, increases in ionic strength were found to increase preference for Na+. Although illite (2:1 non-expanding mineral) was expected to be dominated by external surfaces, this clay displayed an overall preference for Ca2+, possibly indicating the opening of quasicrystals and the formation of internal exchange surfaces. For the expanding 2:1 clay, montmorillonite, Na+-Ca2+ exchange varied due to the formation of quasicrystals (and internal exchange surfaces) from individual clay platelets. At small ionic strength and large ESP, the clay platelets dispersed and were dominated by external exchange surfaces (displaying preference for Na+). However, as ionic strength increased and ESP decreased, quasicrystals (and internal exchange surfaces) formed, and preference for Ca2+ increased. Therefore, the relationship between SAR and ESP is not constant and should be determined directly for the soil of interest.