Computational Intelligence for Evolving Trading Rules

Computational Intelligence for Evolving Trading Rules

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 comprehen...

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Veröffentlicht in:IEEE transactions on evolutionary computation 2009-02, Vol.13 (1), p.71-86
Hauptverfasser: Ghandar, A., Michalewicz, Z., Schmidt, M., Thuy-Duong To, Zurbrugg, R.
Format: Artikel
Sprache:eng
Schlagworte:
Adaptive systems
Asset management
Australia
Computation
Computational intelligence
Computer science
Construction equipment
Construction industry
Dynamical systems
Dynamics
Evolutionary computation
Fuzzy logic
Fuzzy systems
Intelligence
Learning
Markets
portfolio management
Portfolios
stock market
trading systems
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Beschreibung
Zusammenfassung: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.
ISSN:1089-778X
1941-0026
DOI:10.1109/TEVC.2008.915992