Genetic algorithms for robust optimization in financial applications

Publication Type:
Conference Proceeding
Citation:
Proceedings of the IASTED International Conference on Computational Intelligence, 2005, 2005 pp. 387 - 391
Issue Date:
2005-12-01
Metrics:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2005000941.pdf377.11 kB
Adobe PDF
In stock market or other financial market systems, the technical trading rules are used widely to generate buy and sell alert signals. In each rule, there are many parameters. The users often want to get the best signal series from the in-sample sets, (Here, the best means they can get the most profit, return or Sharpe Ratio, etc), but the best one will not be the best in the out-of-sample sets. Sometimes, it does not work any more. In this paper, the authors set the parameters a sub-range value instead of a single value. In the sub-range, every value will give a better prediction in the out-of-sample sets. The improved result is robust and has a better performance in experience.
Please use this identifier to cite or link to this item: