Computational intelligence for evolving trading rules
- Ghandar, A.
- Michalewicz, Z.
- Schmidt, M.
- To, T.
- Zurbrugg, R.
Publication date
January 2009
DOI Publisher
Institute of Electrical and Electronics Engineers (IEEE) ISSN
1089-778X Journal
IEEE Transactions on Evolutionary ComputationAbstract
Copyright © 2008 IEEEThis paper describes an adaptive computational intelligence system for learning trading rules. The trading rules are represented using a fuzzy logic rule base, and using an artificial evolutionary process the system learns to form rules that can perform well in dynamic market conditions. A comprehensive analysis of the results of applying the system for portfolio construction using portfolio evaluation tools widely accepted by both the financial industry and academia is provided.Adam Ghandar, Zbigniew Michalewicz, Martin Schmidt, Thuy-Duong Tô, and Ralf Zurbrug
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