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.

Design and implementation of an automatic message-routing system for low-cost telemedicine

Email has been used for some years as a low-cost telemedicine medium to provide support for developing countries. However, all operations have been relatively small scale and fairly labour intensive to administer. A scalable, automatic message-routing system was constructed which automates many of the tasks. During a four-month study period in 2002, 485 messages were processed automatically. There were 31 referrals from eight hospitals in three countries. These referrals were handled by 25 volunteer specialists from a panel of 42. Two system operators, located 10 time zones apart, managed the system. The median time from receipt of a new referral to its allocation to a specialist was 1.0 days (interquartile range 0.7-2.4). The median interval between allocation and first reply was 0.7 days (interquartile range 0.3-2.3). Automatic message handling solves many of the problems of manual email telemedicine systems and represents a potentially scalable way of doing low-cost telemedicine in the developing world.

Improved message passing for inference in densely connected systems

An improved inference method for densely connected systems is presented. The approach is based on passing condensed messages between variables, representing macroscopic averages of microscopic messages. We extend previous work that showed promising results in cases where the solution space is contiguous to cases where fragmentation occurs. We apply the method to the signal detection problem of Code Division Multiple Access (CDMA) for demonstrating its potential. A highly efficient practical algorithm is also derived on the basis of insight gained from the analysis. © EDP Sciences.

Message passing for task redistribution on sparse graphs

The problem of resource allocation in sparse graphs with real variables is studied using methods of statistical physics. An efficient distributed algorithm is devised on the basis of insight gained from the analysis and is examined using numerical simulations, showing excellent performance and full agreement with the theoretical results.

Noise and the trading mechanism:the case of SETS

On 20 October 1997 the London Stock Exchange introduced a new trading system called SETS. This system was to replace the dealer system SEAQ, which had been in operation since 1986. Using the iterative sum of squares test introduced by Inclan and Tiao (1994), we investigate whether there was a change in the unconditional variance of opening and closing returns, at the time SETS was introduced. We show that for the FTSE-100 stocks traded on SETS, on the days following its introduction, there was a widespread increase in the volatility of both opening and closing returns. However, no synchronous volatility changes were found to be associated with the FTSE-100 index or FTSE-250 stocks. We conclude therefore that the introduction of the SETS trading mechanism caused an increase in noise at the time the system was introduced.

The trading mechanism, cross listed stocks:A comparison of the Paris Bourse and SEAQ-International

This paper studies the behaviour of returns for a sample of cross-listed stocks, listed on both the Paris Bourse and SEAQ-International in London. The aim of the paper is to discover which market adjusts to fundamental news more quickly, the home market of Paris or SEAQ-International. We find that prices in London adjust to changes in their fundamental value more slowly than Paris prices, despite the ability to quickly arbitrage between the two markets. We suggest that this finding may reflect the type of trading, which takes place in the two markets and differences associated with the reporting of large trades. We also estimate the amount of noise present in the two markets and show that the Paris market is more noisy than London. © 2003 Published by Elsevier B.V.

Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Majority versus minority influence, message processing and attitude change:the Source-Context-Elaboration Model

This chapter examines the contexts in which people will process more deeply, and therefore be more influenced by, a position that is supported by either a numerical majority or minority. The chapter reviews the major theories of majority and minority influence with reference to which source condition is associated with most message processing (and where relevant, the contexts under which this occurs) and experimental research examining these predictions. The chapter then presents a new theoretical model (the source-context-elaboration model, SCEM) that aims to integrate the disparate research findings. The model specifies the processes underlying majority and minority influence, the contexts under which these processes occur and the consequences for attitudes changed by majority and minority influence. The chapter then describes a series of experiments that address each of the aspects of the theoretical model. Finally, a range of research-related issues are discussed and future issues for the research area as a whole are considered.

Majority versus minority influence:the role of message processing in determining resistance to counter-persuasion

Two experiments examined the extent to which attitudes changed following majority and minority influence are resistant to counter-persuasion. In both experiments participants' attitudes were measured after being exposed to two messages, delayed in time, which argued opposite positions (initial message and counter-message). In the first experiment, attitudes following minority endorsement of the initial message were more resistant to a second counter-message only when the initial message contained strong versus weak arguments. Attitudes changed following majority influence did not resist the second counter-message and returned to their pre-test level. Experiment 2 varied whether memory was warned (i.e., message recipients expected to recall the message) or not, to manipulate message processing. When memory was warned, which should increase message processing, attitudes changed following both majority and minority influence resisted the second counter-message. The results support the view that minority influence instigates systematic processing of its arguments, leading to attitudes that resist counter-persuasion. Attitudes formed following majority influence yield to counter-persuasion unless there is a secondary task that encourages message processing.

Effects of caffeine on persuasion and attitude change:the role of secondary tasks in manipulating systematic message processing

Two experiments are reported that examine the effects of caffeine consumption on attitude change by using different secondary tasks to manipulate message processing. The first experiment employed an orientating task whilst the second experiment employed a distracter task. In both experiments participants consumed an orange-juice drink that either contained caffeine (3.5?mg/kg body weight) or did not contain caffeine (placebo) prior to reading a counter-attitudinal communication. The results across both experiments were similar. When message processing was reduced or under high distraction, there was no attitude change irrespective of caffeine consumption. However, when message processing was enhanced or under low distraction, there was greater attitude change in the caffeine vs. placebo conditions. Furthermore, attitudes formed after caffeine consumption resisted counter-persuasion (Experiment 1) and led to indirect attitude change (Experiment 2). The extent that participants engaged in message-congruent thinking mediated the amount of attitude change. These results provide evidence that moderate amounts of caffeine increase systematic processing of the arguments in the message resulting in greater agreement.

Systematic and heuristic processing of majority and minority-endorsed messages:the effects of varying outcome relevance and levels of orientation on attitude and message processing

Two experiments investigated the conditions under which majority and minority sources instigate systematic processing of their messages. Both experiments crossed source status (majority vs. minority) with message quality (strong vs. weak arguments). In each experiment, message elaboration was manipulated by varying either motivational (outcome relevance, Experiment 1) or cognitive (orientating tasks, Experiment 2) factors. The results showed that when either motivational or cognitive factors encouraged low message elaboration, there was heuristic acceptance of the majority position without detailed message processing. When the level of message elaboration was intermediate, there was message processing only for the minority source. Finally, when message elaboration was high, there was message processing for both source conditions. These results show that majority and minority influence is sensitive to motivational and cognitive factors that constrain or enhance message elaboration and that both sources can lead to systematic processing under specific circumstances. © 2007 by the Society for Personality and Social Psychology, Inc.