A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
From MaRDI portal
Publication:300078
DOI10.1016/J.EJOR.2014.07.034zbMath1338.91165OpenAlexW2022391082MaRDI QIDQ300078
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.07.034
investment analysisportfolio optimizationrisk managementevolutionary computationsconditional value-at-risk
Approximation methods and heuristics in mathematical programming (90C59) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (4)
Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ The high frequency trade off between speed and sophistication ⋮ A multilayer feedforward perceptron model in neural networks for predicting stock market short-term trends ⋮ Economic lot sampling inspection from defect counts with minimum conditional value-at-risk
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- American stochastic volatility call option pricing: a lattice based approach
- Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
- Fitting the control parameters of a genetic algorithm: an application to technical trading systems design
- A model of portfolio optimization using time adapting genetic network programming
- Predicting EU energy industry excess returns on EU market index via a constrained genetic algorithm
- Option hedging for semimartingales
- Business failure prediction using rough sets
- Generalized autoregressive conditional heteroscedasticity
- Economic and financial prediction using rough sets model
- Derivatives of probability functions and some applications
- Portfolio value-at-risk optimization for asymmetrically distributed asset returns
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization
- Prediction of index futures returns and the analysis of financial spillovers-A comparison between GARCH and the grey theorem
- A multicriteria DSS for stock evaluation using fundamental analysis
- Bounds on European Option Prices under Stochastic Volatility
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Variance-Optimal Hedging in Discrete Time
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Genetic programming prediction of stock prices
- Credit risk optimization with conditional Value-at-Risk criterion
This page was built for publication: A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
