Computational intelligence for evolving trading rules
Date
2009
Authors
Ghandar, A.
Michalewicz, Z.
Schmidt, M.
To, T.
Zurbrugg, R.
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Journal article
Citation
IEEE Transactions on Evolutionary Computation, 2009; 13(1):71-86
Statement of Responsibility
Adam Ghandar, Zbigniew Michalewicz, Martin Schmidt, Thuy-Duong Tô, and Ralf Zurbrugg
Conference Name
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.
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Copyright © 2008 IEEE