Adelaide Research & Scholarship
Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/52599
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| Type: | Journal article |
| Title: | Computational intelligence for evolving trading rules |
| Author: | Ghandar, A. Michalewicz, Z. Schmidt, M. To, T. Zurbrugg, R. |
| Citation: | IEEE Transactions on Evolutionary Computation, 2009; 13(1):71-86 |
| Publisher: | IEEE-Inst Electrical Electronics Engineers Inc |
| Issue Date: | 2009 |
| ISSN: | 1089-778X 1941-0026 |
| Statement of Responsibility: | Adam Ghandar, Zbigniew Michalewicz, Martin Schmidt, Thuy-Duong Tô, and Ralf Zurbrugg |
| Abstract: | This paper describes an adaptive computational intelligence system for learning trading rules. The trading rules are represented using a fuzzy logic rule base, and using an artificial evolutionary process the system learns to form rules that can perform well in dynamic market conditions. A comprehensive analysis of the results of applying the system for portfolio construction using portfolio evaluation tools widely accepted by both the financial industry and academia is provided. |
| Keywords: | evolutionary computation fuzzy systems portfoliomanagement stock market trading systems |
| Description: | Copyright © 2008 IEEE |
| DOI: | 10.1109/TEVC.2008.915992 |
| Published version: | http://dx.doi.org/10.1109/tevc.2008.915992 |
| Appears in Collections: | Aurora harvest 5 Computer Science publications |
Files in This Item:
| File | Description | Size | Format | |
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| hdl_52599.pdf | 1.5 MB | Publisher's PDF | View/Open |
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