Dynamic asset allocation for stock trading optimized by evolutionary computation

IEICE Transactions on Information and Systems

Volumn E88-D, Issue 6, 2005, Pages 1217-1222

  O, Jangmin ^a   Lee, Jongwoo ^b   Lee, Jae Won ^c   Zhang, Byoung Tak ^a  

^a Seoul National University   (South Korea)

^b Sookmyung Women's University   (South Korea)

^c Sungshin Women's University   (South Korea)

Author keywords

Asset allocation; Evolutionary computation; Meta policy; Multi predictors approach; Stock market

Indexed keywords

COMPUTATIONAL METHODS; DECISION MAKING; OPTIMIZATION; PUBLIC POLICY; STRATEGIC PLANNING;

ALLOCATION METHODS; META POLICY; STOCK MARKET SHOW; STOCK TRADING;

INVENTORY CONTROL;

EID: 25844509271     PISSN: 09168532     EISSN: 17451361     Source Type: Journal    
DOI: 10.1093/ietisy/e88-d.6.1217     Document Type: Article

References (14)

1. E.F. Fama and K.R. French, "Dividend yields and expected stock returns," J. Financial Economics, vol.22, pp.3-26, 1988.
2. D.E. Goldberg, Genetic Algorithms in Search, Optimization, and Machine Learning, Addison-Wesley, 1989.
3. T. Hellström, A Random Walk through the Stock Market, Ph.D. Thesis, Department of Computing Science, Umeȧ University, 1998.
4. P.J. Kaufman, The New Commodity Trading Systems and Methods, Wiley, New York, 1987.
5. S.M. Kendall and K. Ord, Time Series, Oxford, New York, 1997.
6. S.D. Kim, J.W. Lee, J. Lee, and J.-S. Chae, "A two-phase stock trading system using distributional differences," Proc. International Conference on Database and Expert Systems Applications, pp. 143-152, 2002.
7. J.W. Lee and J. O, "A multi-agent Q-learning framework for optimizing stock trading systems," Proc. International Conference on Database and Expert Systems Applications, pp. 153-162, 2002.
8. J.W. Lee, S.D. Kim, J. Lee, and J.-S. Chae, "An intelligent stock trading system based on reinforcement learning," IEICE Trans. Inf. & Syst., vol.E86-D, no.2, pp.296-305, Feb. 2003.
9. B.C. Malkiel, A Random Walk Down Wall Street, Norton, New York, 1996.
10. J. Moody and M. Saffell, "Learning to trade via direct reinforcement," IEEE Trans. Neural Netw., vol. 12, no.4, pp.875-889, 2001.
11. R. Neuneier, Risk Sensitive Reinforcement Learning, Advances in Neural Information Processing Systems, pp. 1031-1037, MIT Press, Cambridge, 1999.
12. J. O, J.W. Lee, and B.-T. Zhang, "Stock trading system using reinforcement learning with cooperative agents," Proc. International Conference on Machine Learning, pp.451-458, Morgan Kaufmann, 2002.
13. E.W. Saad, D.V. Prokhorov, and D.C. Wunsch II, "Comparative study of stock trend prediction using time delay, recurrent and probabilistic neural networks," IEEE Trans. Neural Netw., vol.9, no.6, pp.1456-1470, 1998.
14. J.S. Zirilli, Financial Prediction Using Neural Networks, Thompson Computer Press, 1997.