I got thinking today that rule induction systems for ESP/ CEP systems are a likely candidate for near future work. I have worked on rule induction in the past (specifically fuzzy rule induction, guided by a training evolutionary algorithm). It seems that using real time optimization techniques, you could do the same – induce rules.
Establish goals:

Maximize Individual Trade Profit
Minimize Average Drawdown
Maximize total profit

Set basic inputs to the induction/ evaluation system:

Market data from instrument stream X
Real time portfolio information
Indicators derived from the above (technical analysis, quant analysis, etc)

Generate candidate ESP rule sets

Store success/ failure of rule sets in their execution environments for each goal
Breed/ Mutate ESP rule sets

Loop

The core algorithm should recombine/ change ESP rule sets to meet goals. This would induce rules (in whatever runtime language) for Event Driven Systems. Rule induction has been done in many many data mining applications, I am sure it is just a matter of time until these paradigms are being applied to large event based systems and the rules/ processing that happens to those events.

Thoughts in progress

Chris

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