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GECCO 2011 Industrial Challenge --- Call for Participation

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  • bicker_d
    Our apologies if you receive multiple copies of this call. Please circulate this call among your colleagues and students.
    Message 1 of 1 , Apr 15, 2011
      Our apologies if you receive multiple copies of this call.
      Please circulate this call among your colleagues and students.

      GECCO 2011: Call for Participation
      INDUSTRIAL CHALLENGE: Optimizing Foreign Exchange Trading Strategies

      July 12-16, Dublin, Ireland
      Sponsored by ACM SIGEVO
      20th International Conference on Genetic Algorithms (ICGA) and the 16th Annual Genetic Programming Conference (GP)
      One Conference - Many Mini-Conferences, 16 Program Tracks

      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 1, 2011
      * Start of Second Round: June 13, 2011
      * GECCO-2011 Conference: July 12-16, 2011
      * Contact: gecco@...-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/ 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).
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