Design of stock trading system for historical market data using multiobjective particle swarm optimization of technical indicators

GECCO'08: Proceedings of the 10th Annual Conference on Genetic and Evolutionary Computation 2008

Volumn , Issue , 2008, Pages 1871-1878

  Briza, Antonio C ^a   Naval Jr , Prospero C ^a  

^a UNIVERSITY OF THE PHILIPPINES   (Philippines)

Author keywords

Multiobjective optimization; Particle swarm optimization; Stock trading systems; Technical indicators

Indexed keywords

ELECTRONIC TRADING; FINANCIAL MARKETS; PARTICLE SWARM OPTIMIZATION (PSO); WELL TESTING;

DIVERSITY OF SOLUTIONS; MULTI OBJECTIVE PARTICLE SWARM OPTIMIZATION; MULTI-OBJECTIVE OPTIMIZATION SYSTEMS; PORTFOLIO OPTIMIZATION; REAL-LIFE APPLICATIONS; STOCK TRADING SYSTEM; TECHNICAL INDICATOR; TRAINING AND TESTING;

MULTIOBJECTIVE OPTIMIZATION;

EID: 57349163593     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1145/1388969.1388992     Document Type: Conference Paper

References (23)

1. A. Abraham, C. Grosan, S. Y. Han, and A. Gelbukh. Evolutionary multiobjective optimization approach for evolving ensemble of intelligent paradigms for stock market modeling. In Lecture Notes in Computer Science, 4th Mexican International Conference on Artificial Intelligence (MICAI'05), volume 3789, pages 673-681. Springer Verlag, Germany, 2005.
2. R. Armananzas and J. A. Lozano. A multiobjective approach to the portfolio optimization problem. In Proceedings of the 2005 IEEE Congress on Evolutionary Computation (CEC 2005), volume 2, pages 1388-1395, 2005. IEEE Press.
3. M. Clerc and J. Kennedy. The particle swarm-explosion, stability, and convergence in a multidimensional complex space. IEEE Transactions on Evolutionary Computation, 6(1):58-73, February 2002.
4. C. Coello and M.Lechuga. MOPSO: A proposal for multiple objective particle swarm optimization. In Congress on Evolutionary Computation (CECŠ2002), volume 2, page 1051-1056, Piscataway, New Jersey, May 2002. IEEE Service Center.
5. C. Coello, G. Pulido, and M. Salazar. Handling multiple objectives with particle swarm optimization. IEEE Transactions on Evolutionary Computation, 8(3):256-279, June 2004.
6. L. Diosan. A multi-objective evolutionary approach to the portfolio optimization problem. In CIMCA '05: Proceedings of the International Conference on Computational Intelligence for Modelling, Control and Automation and International Conference on Intelligent Agents, Web Technologies and Internet Commerce Vol-2 (CIMCA-IAWTIC'06), pages 183-187, Washington, DC, USA, 2005. IEEE Computer Society.
7. K. Doerner, W. Gutjahr, R. Hartl, C. Strauss, and C. Stummer. Ant colony optimization in multiobjective portfolio selection. In 44th Metaheuristics Intl. Conf., MIC'2001, pages 243-248, Porto,Portugal, July 2001.
8. A. Engelbrecht. Fundamentals of Computational Swarm Intelligence. John Wiley & Sons, 2005.
9. F. Fernández-Rodríguez, C. González-Martel, and S. Sosvilla-Rivero. Optimisation of technical rules by genetic algorithms: Evidence from the madrid stock market. Fundación de Estudíos de Economía Aplicada, August 2001.
10. R. Fukumoto and H. Kita. Designing trading agents for an artificial market with a multi-objective genetic algorithm. In ICCIMA '01: Proceedings of the Fourth International Conference on Computational Intelligence and Multimedia Applications, page 226, Washington, DC, USA, 2001. IEEE Computer Society.
11. R. Hassan, B. Cohanim, O. de Weck, and G. Venter. A comparison of particle swarm optimization and the genetic algorithm. In 46th AIAA/ASME/ASCE/AHS/ASC Structures, Structural Dynamics and Materials Conference, number AIAA-2005-1897, Austin, Texas, April 2005.
12. S. Janson, D. Merkle, and M. Middendorf. Molecular docking with multi-objective particle swarm optimization. Appl. Soft Comput., 8(1):666-675, 2008.
13. M. Kearns and L. Ortiz. The Penn-Lehman automated trading project, 2003.
14. J. Kennedy and R. Eberhart. Particle swarm optimization. In 1995 IEEE International Conference on Neural Networks, page 1942-1948, Piscataway, New Jersey, 1995. IEEE Service Center.
15. K.Kurumatani et al. U-mart: A virtual stock market as a forum for market structure analysis and engineering. In 5th joint Conderence on Information Science (JCIS'00), 1st Int'l Workshop on Computational Intelligence in Economics and Finance, pages 957-960, 2000.
16. J. Li and S. Taiwo. Enhancing financial decision making using multi-objective financial genetic programming. In Proc.of 2006 IEEE Congress on Evolutionary Computation (CEC'06), Sheraton Vancouver Wall Centre, Vancouver, BC, Canada, July 16-21 2006.
17. L. Lin, L. Cao, J. Wang, and C. Zhang. The applications of genetic algorithms in stock market data mining optimisation. In A. Zanasi, N. Ebecken, and C. Brebbia, editors, Data Mining V: Data Mining, Text Mining and their Business Applications (DATA MINING 2004), page 448. WIT Press, Southampton, Boston, 2004.
18. Y. Niu and L. Shen. The optimal multi-objective optimization using pso in blind color image fusion. In International Conference on Multimedia and Ubiquitous Engineering, 00:970-975, 2007.
19. C. R. Raquel and J. Prospero C. Naval. An effective use of crowding distance in multiobjective particle swarm optimization. In GECCO '05: Proceedings of the 2005 conference on Genetic and evolutionary computation, pages 257-264, New York, NY, USA, 2005. ACM Press.
20. P. J. Rousseeuw, I. Ruts, and J. W. Tukey. The bagplot: A bivariate boxplot. The American Statistician, 53(4):382-387, November 1999.
21. M. R. Sierra and C. C. Coello. Multi-objective particle swarmoptimizers: a survey of the state-of-the-art. Int. J. Comput. Intell. Res. 2, 3:287-308, 2006.
22. A. Skabar and I. Cloete. Neural networks, financial trading and the efficient markets hypothesis. In ACSC '02: Proceedings of the twenty-fifth Australasian conference on Computer science, pages 241-249, Darlinghurst, Australia, Australia, 2002. Australian Computer Society, Inc.
23. H. Subramanian, S. Ramamoorthy, P. Stone, and B. J. Kuipers. Designing safe, profitable automated stock trading agents using evolutionary algorithms. In GECCO '06: Proceedings of the 8th annual conference on Genetic and evolutionary computation, pages 1777-1784, New York, NY, USA, 2006. ACM Press.