Modelling and trading the English stock market with novelty optimization techniques

Authors

  • Andreas Karathanasopoulos Associate Professor

DOI:

https://doi.org/10.17811/ebl.5.2.2016.50-57

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.

References

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Published

20-07-2016

How to Cite

Karathanasopoulos, A. (2016). Modelling and trading the English stock market with novelty optimization techniques. Economics and Business Letters, 5(2), 50–57. https://doi.org/10.17811/ebl.5.2.2016.50-57

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