An Analysis Of The Robustness Of Genetic Algorithm (ga) Methodology In The Design Of Trading System

Laura Nuñez ()
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Laura Nuñez: Instituto de Empresa
Authors registered in the RePEc Author Service: Laura Marta Nuñez Letamendia ()

Working Papers Economia from Instituto de Empresa, Area of Economic Environment

Abstract: (WP24/02 Clave pdf) This paper analyzes the robustness of Genetic Algorithms (GAs) technique for its application in the field of trading systems design for the Stock Exchange. The functioning of the GA is driven by the control parameters: crossover and mutation probabilities, number of generations, and size of population. Whether the results generated by the application of GAs to a specific problem are conditioned by the value assess to these parameters, becomes a main research field. The purpose of this paper is to develop a sensibility analyses about the dependency of the GA to the value of these parameters....

Keywords: Control parameters; Genetic algorithms; Trading systems (search for similar items in EconPapers)
Pages: 21 pages
Date: 2002-09
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