Adopting genetic algorithms for technical analysis and portfolio management

Tak Chung Fu; Chi Pang Chung; Fu Lai Korris Chung

doi:10.1016/j.camwa.2013.08.012

Adopting genetic algorithms for technical analysis and portfolio management

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

Research output: Journal article publication › Journal article › Academic research › peer-review

29 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 language	English
Pages (from-to)	1743-1757
Number of pages	15
Journal	Computers and Mathematics with Applications
Volume	66
Issue number	10
DOIs	https://doi.org/10.1016/j.camwa.2013.08.012
Publication status	Published - 1 Dec 2013

Keywords

Genetic algorithms
Portfolio management
Technical indicator

ASJC Scopus subject areas

Modelling and Simulation
Computational Theory and Mathematics
Computational Mathematics

More information

10.1016/j.camwa.2013.08.012

Cite this

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Adopting genetic algorithms for technical analysis and portfolio management

Abstract

Keywords

ASJC Scopus subject areas

More information

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