Adopting genetic algorithms for technical analysis and portfolio management

Authors

Tak Chung Fu, Hong Kong Institute of Vocational Education (Sha Tin), Vocational Training CouncilFollow
Chi Pang Chung, The Hong Kong Polytechnic University
Fu Lai Chung, The Hong Kong Polytechnic University

Document Type

Journal Article

Publication Date

2013

Keywords

Portfolio management, Technical indicator, Genetic algorithms

DOI

10.1016/j.camwa.2013.08.012

Abstract

This research examines two different applications of the Genetic Algorithms (GA) in portfolio management. GA is adopted to determine the optimized parameters setting of different technical indicators and portfolio weighting. Besides the Traditional GA, the Hierarchical GA is also adopted in this research. Different algorithms and the usage of different numbers of technical indicators are evaluated in different economic situations. GA shows its optimization power over different tasks in portfolio management.

Source Publication

Computers & Mathematics with Applications

Volume Number

66

Issue Number

10

ISSN

0898-1221

First Page

1743

Last Page

1757

Recommended Citation

Fu, T.,Chung, C.,& Chung, F. (2013). Adopting genetic algorithms for technical analysis and portfolio management. Computers & Mathematics with Applications, 66 (10), 1743-1757. http://dx.doi.org/10.1016/j.camwa.2013.08.012