Our apologies if you receive multiple copies of this call.
Please circulate this call among your colleagues and students.
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DEADLINE EXTENSION
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The GECCO 2011 Industrial Challenge submission deadline has been extended
to:
__June 6, 2011, 23:59h CEST__
Repeated/updated submissions are welcome. Please keep in mind that the new
deadline is final. Good luck to all participants!
Kind regards,
Oliver Flasch
GECCO 2011 Industrial Challenge Organizing Committee
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GECCO 2011: Call for Participation
INDUSTRIAL CHALLENGE: Optimizing Foreign Exchange Trading Strategies
2011 GENETIC AND EVOLUTIONARY COMPUTATION CONFERENCE (GECCO-2011) July
12-16, Dublin, Ireland Sponsored by ACM SIGEVO
http://www.sigevo.org/gecco-2011
20th International Conference on Genetic Algorithms (ICGA) and the 16th
Annual Genetic Programming Conference (GP) One Conference - Many
Mini-Conferences, 16 Program Tracks
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***
Overview
========
The foreign exchange (FX) market is a financial market for trading
currencies to enable international trade and investment. Goal of the GECCO
2011 Industrial Challenge is to find profitable trading strategies for
automatic foreign exchange trading. A trading strategy is a function that
generates a trading signal based on exchange rate time series data. Trading
strategies are scored by cost-corrected profitability and risk. This scoring
is based on a representative set of real-world exchange rate time series.
The challenge is organized in two rounds. In the first round, participants
submit the sum of their scores reached on three test data sets supplied.
They also submit their executable software together with short report
describing their approach. In the second and final round, the ten best
submissions of the first round will be ranked by their scores computed on
new test data sets collected after the submission date, for the same
currency pairs as used in the first round. The winner of the challenge will
be the participant with the highest score in the final round.
Highlights of the GECCO 2011 Industrial Challenge include:
* Interesting Problem Domain: The FX market, with its complex patterns and
behavior, offers a fascinating test case for innovative optimization
methods.
* Real-world Data: Multiple real intraday FX return time series are provided
for training and testing trading strategies.
* Realistic Quality Measurement: Trading strategies are scored using a
simple but realistic trading simulator that takes trading costs and risk
into account.
* Fair Submission Assessment: Winners are determined in a second round by
simulated trading based on new FX return data sets, rendering accidental
overfitting or cheating impossible.
Important Dates and Contacts
============================
* Software and Data Availability: immediately
* Challenge Submission Deadline: June 6, 2011, 23:59h CEST
* Start of Second Round: June 13, 2011
* GECCO-2011 Conference: July 12-16, 2011
* Contact: gecco@f10.fh-koeln.de
Submission Guidelines
=====================
* Download the Call for Participation in PDF format at
http://gociop.de/gecco-2011-industrial-challenge/ .
* Download the GECCO 2011 IC Resource Package, containing the required
datasets, software, and the official rules and regulations at
http://gociop.de/gecco-2011-industrial-challenge/ . Please see the file
README.txt for further instructions.
* Please use the GECCO 2011 IC Submission Form at
http://gociop.de/http://gociop.de/gecco-2011-industrial-challenge/gecco-2011
-industrial-challenge-submission-form/
<http://gociop.de/http:/gociop.de/gecco-2011-industrial-challenge/gecco-2011
-industrial-challenge-submission-form/> for sending your submission.
Organizing Committee and Sponsors
=================================
* Oliver Flasch, Cologne University of Applied Sciences
* Thomas Bartz-Beielstein, Cologne University of Applied Sciences
* Daniel Bicker, Cologne University of Applied Sciences
* David Kleimann, Cologne University of Applied Sciences
* Christian von Strachwitz, Quaesta Capital GmbH
* Wolfgang Kantschik, DIP Dortmund Intelligence Project GmbH
* Wolfgang Konen, Cologne University of Applied Sciences
* Pier Luca Lanzi, Politecnico di Milano
* Jorn Mehnen, Cranfield University
GECCO is sponsored by the Association for Computing Machinery Special
Interest Group for Genetic and Evolutionary Computation (ACM SIGEVO).
Title picture copyright by Jaap Steinvoorte (Creative Commons Attribution
2.5 Generic).
[Non-text portions of this message have been removed]
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