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" Intelligent Financial Portfolio Composition based on Evolutionary Computation Strategies "
by Antonio Gorgulho, Rui F.M.F. Neves, Nuno C.G. Horta.
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BL
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| Record Number
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747613
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b567564
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| Main Entry
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by Antonio Gorgulho, Rui F.M.F. Neves, Nuno C.G. Horta.
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| Title & Author
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Intelligent Financial Portfolio Composition based on Evolutionary Computation Strategies\ by Antonio Gorgulho, Rui F.M.F. Neves, Nuno C.G. Horta.
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| Publication Statement
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Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint : Springer, 2013
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| Series Statement
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SpringerBriefs in Applied Sciences and Technology
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| Page. NO
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(XI, 77 p. 30 illustrations, 15 illustrations in color.)
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| ISBN
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3642329896
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: 9783642329890
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| Contents
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Preface.- Introduction.- Computational Finance .- Work's Purpose.- General Goals.- Concrete Goals.- Book's Structure.- Related Work.- Portfolio Theory.- Diversification.- Management.- Market Analysis.- Fundamental Analysis.- Technical Analysis.- Fundamental vs. Technical.- Evolutionary Computation.- Genetic Algorithms.- Individual Representation.- Initial Generation.- Selection.- Offspring Generation.- Genetic Programming.- Existing Solutions.- Portfolio Optimization Theory.- Markowitz's Pioneer Work.- Alternative Models.- Solving Markowitz's Model.- Quadratic Programming.- Modeling Real World.- Metaheuristics Approaches to Portfolio Optimization.- Single-objective Evolutionary Algorithms.- Multi-objective Evolutionary Algorithms.- Extensions to Genetic Algorithms.- Technical and Fundamental Analysis in Portfolio Management.- Solution's Architecture.- Overall Architecture.- Data Flow.- Financial Data Processing Module.- Implementation and Functionality.- Technical Rules Module .- Extensibility and Technical Rules Module Implementation.- Exponential Moving Average (EMA).- Hull Moving Average (HMA).- Double Crossover.- Rate of Change (ROC).- Relative Strength Index (RSI).- Moving Average Convergence Divergence (MACD) .- On Balance Volume (OBV).- True Strength Index (TSI).- Optimization Module.- Chromosome Representation.- Selection.- Mutation.- Crossover.- Initial Generation.- Constraints Handling.- Evaluation Function.- Optimization Module Implementation.- Investment Simulator Module.- Implementation and Functionality.- System Validation.- Performance Measures.- Return on Investment (ROI).- Ratio.- Sortino Ratio.- Classification Parameters.- Strategies Employed.- Case Studies.- Conclusions and Future Work.- Appendixes.
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Artificial intelligence.
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Engineering.
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Finance.
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| LC Classification
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HG4529.5B936 2013
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| Added Entry
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Antonio Gorgulho
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Nuno C G Horta
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Rui F M F Neves
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