TY - GEN
T1 - Optimizing parameters of algorithm trading strategies using MapReduce
AU - Qin, Xiongpai
AU - Wang, Huiju
AU - Li, Furong
AU - Chen, Jidong
AU - Zhou, Xuan
AU - Du, Xiaoyong
AU - Wang, Shan
PY - 2012
Y1 - 2012
N2 - In algorithm trading, computer algorithms are used to make the decision on the time, quantity, and direction of operations (buy, sell, or hold) automatically. To create a useful algorithm, the parameters of the algorithm should be optimized based on historical data. However, Parameter optimization is a time consuming task, due to the large search space. We propose to search the parameter combination space using the MapReduce framework, with the expectation that runtime of optimization be cut down by leveraging the parallel processing capability of MapReduce. This paper presents the details of our method and some experiment results to demonstrate its efficiency. We also show that a rule based strategy after being optimized performs better in terms of stability than the one whose parameters are arbitrarily preset, while making a comparable profit.
AB - In algorithm trading, computer algorithms are used to make the decision on the time, quantity, and direction of operations (buy, sell, or hold) automatically. To create a useful algorithm, the parameters of the algorithm should be optimized based on historical data. However, Parameter optimization is a time consuming task, due to the large search space. We propose to search the parameter combination space using the MapReduce framework, with the expectation that runtime of optimization be cut down by leveraging the parallel processing capability of MapReduce. This paper presents the details of our method and some experiment results to demonstrate its efficiency. We also show that a rule based strategy after being optimized performs better in terms of stability than the one whose parameters are arbitrarily preset, while making a comparable profit.
KW - MapReduce
KW - algorithm trading
KW - parameter optimization
KW - trading strategy
UR - https://www.scopus.com/pages/publications/84872931880
U2 - 10.1109/FSKD.2012.6233799
DO - 10.1109/FSKD.2012.6233799
M3 - 会议稿件
AN - SCOPUS:84872931880
SN - 9781467300223
T3 - Proceedings - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
SP - 2738
EP - 2741
BT - Proceedings - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
T2 - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
Y2 - 29 May 2012 through 31 May 2012
ER -