Since 2014
Modelling and trading the English stock market with novelty optimization techniques
Economics and Business Letters
View Archive Info| Field | Value | |
| Title |
Modelling and trading the English stock market with novelty optimization techniques
|
|
| Creator |
Karathanasopoulos, Andreas
|
|
| Description |
The scope for this paper is to introduce short term adaptive models to trade the FTSE100 index. There are five major innovations on this paper which include the introduction of an input selection criteria when utilising an expansive universe of inputs, adaptive sliding window modelling, a hybrid combination of PSO and RBF algorithms, the application of a PSO algorithm to a traditional ARMA model, and finally the introduction of a multi-objective algorithm to optimise statistical and trading performance when trading an equity index.
|
|
| Publisher |
Oviedo University Press
|
|
| Contributor |
—
|
|
| Date |
2016-07-20
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — |
|
| Format |
application/pdf
|
|
| Identifier |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/11075
10.17811/ebl.5.2.2016.50-57 |
|
| Source |
Economics and Business Letters; Vol 5, No 2 (2016): June; 50-57
Economics and Business Letters; Vol 5, No 2 (2016): June; 50-57 2254-4380 10.17811/ebl.5.2.2016 |
|
| Language |
eng
|
|
| Relation |
http://www.unioviedo.es/reunido/index.php/EBL/article/view/11075/10594
http://www.unioviedo.es/reunido/index.php/EBL/article/downloadSuppFile/11075/927 |
|
| Rights |
Copyright (c) 2016 Economics and Business Letters
|
|