Development of Machine Learning Software for High Frequency Trading in Financial Markets

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 will be very helpful. This chapter presents a novel trading system using Machine Learning methods of Genetic Algorithms and Reinforcement Learning. The system emulates trader behavior on the Foreign Exchange market and finds the most profitable trading strategy.