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
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;
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
DOI :
10.1109/CEC.2007.4424552
