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

Volume

13

Issue

1

fYear

2009

Firstpage

71

Lastpage

86

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;

fLanguage

English

Journal_Title

Evolutionary Computation, IEEE Transactions on

Publisher

ieee

ISSN

1089-778X

Type

jour

DOI

10.1109/TEVC.2008.915992

Filename

4769003