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This paper extends a previous market microstructure model, where we used Genetic Programming (GP) as an inference engine for trading rules, and Self Organizing Maps as a clustering machine for those rules. Experiments in that work took place under a single financial market and investigated whether its behavior is non-stationary or cyclic. Results showed that the market's behavior was constantly changing...
The Dinosaur Hypothesis states that the behaviour of a market never settles down and that the population of predictors continually co-evolves with this market. This observation had been made and tested under artificial datasets. Recently, we formalized this hypothesis and also tested it under 10 empirical datasets. The tests were based on a GP system. However, it could be argued that results are dependent...
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