Evolutionary reinforcement learning in FX order book and order flow analysis

@inproceedings{Bates2003EvolutionaryRL,
  title={Evolutionary reinforcement learning in FX order book and order flow analysis},
  author={R. Graham Bates and Michael A. H. Dempster and Yazann S. Romahi},
  booktitle={CIFEr},
  year={2003}
}
As macroeconomic fundamentals based modelling of FX timeseries have been shown not to fit the empirical evidence at horizons of less than one year, interest has moved towards microstructure-based approaches. Order flow data has recently been receiving an increasing amount of attention in equity market analyses and thus increasingly in foreign exchange as well. In this paper, order flow data is coupled with order book derived indicators and we explore whether pattern recognition techniques… CONTINUE READING

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