Adopting genetic algorithms for technical analysis and portfolio management

Tak Chung Fu, Chi Pang Chung, Fu Lai Korris Chung

Research output: Journal article publicationJournal articleAcademic researchpeer-review

15 Citations (Scopus)

Abstract

This research examines two different applications of the Genetic Algorithms (GA) in portfolio management. GA is adopted to determine the optimized parameters setting of different technical indicators and portfolio weighting. Besides the Traditional GA, the Hierarchical GA is also adopted in this research. Different algorithms and the usage of different numbers of technical indicators are evaluated in different economic situations. GA shows its optimization power over different tasks in portfolio management.
Original languageEnglish
Pages (from-to)1743-1757
Number of pages15
JournalComputers and Mathematics with Applications
Volume66
Issue number10
DOIs
Publication statusPublished - 1 Dec 2013

Keywords

  • Genetic algorithms
  • Portfolio management
  • Technical indicator

ASJC Scopus subject areas

  • Modelling and Simulation
  • Computational Theory and Mathematics
  • Computational Mathematics

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