DocumentCode
2689333
Title
A Computational Intelligence Portfolio Construction System for Equity Market Trading
Author
Ghandar, Adam ; Michalewicz, Zbigniew ; Schmidt, Martin ; Tô, Thuy-Duong ; Zurbruegg, Ralf
Author_Institution
Univ. of Adelaide, Adelaide
fYear
2007
fDate
25-28 Sept. 2007
Firstpage
798
Lastpage
805
Abstract
This paper describes an adaptive computational intelligence system for learning trading rules used in equity market trading. The rules are represented using fuzzy logic, an evolutionary process facilitates the learning process. By controlling the evolutionary process and through selection of training data the trading rules are adapted to market conditions. Results of the systems performance are obtained using historical data from the Australian stock exchange (ASX).
Keywords
commerce; evolutionary computation; fuzzy logic; stock markets; Australian stock exchange; adaptive computational intelligence system; computational intelligence portfolio construction system; equity market trading; evolutionary process; fuzzy logic; learning trading rules; Adaptive systems; Australia; Business; Computational intelligence; Computer science; Fuzzy logic; Fuzzy sets; Genetic programming; Portfolios; Process control;
fLanguage
English
Publisher
ieee
Conference_Titel
Evolutionary Computation, 2007. CEC 2007. IEEE Congress on
Conference_Location
Singapore
Print_ISBN
978-1-4244-1339-3
Electronic_ISBN
978-1-4244-1340-9
Type
conf
DOI
10.1109/CEC.2007.4424552
Filename
4424552
Link To Document