Title :
Computational Intelligence for Evolving Trading Rules
Author :
Ghandar, Adam ; Michalewicz, Zbigniew ; Schmidt, Martin ; Tô, Thuy-Duong ; Zurbrugg, Ralf
Author_Institution :
Sch. of Comput. Sci., Univ. of Adelaide, Adelaide, SA
Abstract :
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.
Keywords :
evolutionary computation; fuzzy logic; investment; knowledge based systems; stock markets; academia; artificial evolutionary process; computational intelligence; dynamic market conditions; financial industry; fuzzy logic rule base; portfolio construction; portfolio evaluation tools; trading rules; Adaptive systems; Asset management; Australia; Computational intelligence; Computer science; Construction industry; Evolutionary computation; Fuzzy logic; Fuzzy systems; Portfolios; Evolutionary computation; fuzzy systems; portfolio management; stock market; trading systems;
Journal_Title :
Evolutionary Computation, IEEE Transactions on
DOI :
10.1109/TEVC.2008.915992
