Evolutionary Optimization of Trading Strategies

Authors:
Jiarui Ni;Longbing Cao;Chengqi Zhang
Affiliations:
Faculty of Information Technology, University of Technology, Sydney, Australia;Faculty of Information Technology, University of Technology, Sydney, Australia;Faculty of Information Technology, University of Technology, Sydney, Australia
Venue:
Proceedings of the 2008 conference on Applications of Data Mining in E-Business and Finance
Year:
2008

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Abstract

It is a non-trivial task to effectively and efficiently optimize trading strategies, not to mention the optimization in real-world situations. This paper presents a general definition of this optimization problem, and discusses the application of evolutionary technologies (genetic algorithm in particular) to the optimization of trading strategies. Experimental results show that this approach is promising.