Modelling and trading the English stock market with novelty optimization techniques

Andreas Karathanasopoulos

Economics and Business Letters, 2016, vol. 5, issue 2, 50-57

Abstract: The scope for this paper is to introduce short term adaptive models to trade the FTSE100 index. There are five major innovations on this paper which include the introduction of an input selection criteria when utilising an expansive universe of inputs, adaptive sliding window modelling, a hybrid combination of PSO and RBF algorithms, the application of a PSO algorithm to a traditional ARMA model, and finally the introduction of a multi-objective algorithm to optimise statistical and trading performance when trading an equity index.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://reunido.uniovi.es/index.php/EBL/article/view/11075 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ove:journl:aid:11075

Access Statistics for this article

Economics and Business Letters is currently edited by Francisco J. Delgado

More articles in Economics and Business Letters from Oviedo University Press Contact information at EDIRC.
Bibliographic data for series maintained by Francisco J. Delgado ().