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https://hdl.handle.net/2440/77755
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dc.contributor.author | Ghandar, A. | - |
dc.contributor.author | Michalewicz, Z. | - |
dc.contributor.author | Zurbrugg, R. | - |
dc.contributor.editor | Coello, C.A.C. | - |
dc.contributor.editor | Cutello, V. | - |
dc.contributor.editor | Deb, K. | - |
dc.contributor.editor | Forrest, S. | - |
dc.contributor.editor | Nicosia, G. | - |
dc.contributor.editor | Pavone, M. | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Proceedings of the 12th International Conference on Parallel Problem Solving from Nature, held in Taormina, Italy, 1-5 September, 2012 / C.A. Coello Coello, V. Cutello, K. Deb, S. Forrest, G. Nicosia and M. Pavone (eds.): pp.42-51 | - |
dc.identifier.isbn | 9783642329630 | - |
dc.identifier.issn | 0302-9743 | - |
dc.identifier.issn | 1611-3349 | - |
dc.identifier.uri | http://hdl.handle.net/2440/77755 | - |
dc.description.abstract | This paper examines the interaction of decision model complexity and utility in a computational intelligence system for algorithmic trading. An empirical analysis is undertaken which makes use of recent developments in multiobjective evolutionary fuzzy systems (MOEFS) to produce and evaluate a Pareto set of rulebases that balance conflicting criteria. This results in strong evidence that controlling portfolio risk and return in this and other similar methodologies by selecting for interpretability is feasible. Furthermore, while investigating these properties we contribute to a growing body of evidence that stochastic systems based on natural computing techniques can deliver results that outperform the market. | - |
dc.description.statementofresponsibility | Adam Ghandar, Zbigniew Michalewicz and Ralf Zurbruegg | - |
dc.language.iso | en | - |
dc.publisher | Springer-Verlag | - |
dc.relation.ispartofseries | Lecture Notes in Computer Science; 7492 | - |
dc.rights | © Springer-Verlag Berlin Heidelberg 2012 | - |
dc.source.uri | http://dx.doi.org/10.1007/978-3-642-32964-7_5 | - |
dc.title | Enhancing profitability through interpretability in algorithmic trading with a multiobjective evolutionary fuzzy system | - |
dc.type | Conference paper | - |
dc.contributor.conference | International Conference on Parallel Problem Solving from Nature (12th : 2012 : Taormina, Italy) | - |
dc.identifier.doi | 10.1007/978-3-642-32964-7_5 | - |
dc.publisher.place | Germany | - |
pubs.publication-status | Published | - |
dc.identifier.orcid | Zurbrugg, R. [0000-0002-8652-0028] | - |
Appears in Collections: | Aurora harvest Computer Science publications |
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