دانلود مقاله ISI انگلیسی شماره 45133
عنوان فارسی مقاله

افزایش عملکرد استراتژی های معاملاتی با استفاده از شاخص VIX همراه با یک بهینه ساز محاسبات تکاملی دوهدفه

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45133 2015 18 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Boosting Trading Strategies performance using VIX indicator together with a dual-objective Evolutionary Computation optimizer
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Expert Systems with Applications, Volume 42, Issue 19, 1 November 2015, Pages 6699–6716

کلمات کلیدی
پیش بینی سری های زمانی - بهینه سازی چند هدفه - پیش بینی بازار سهام - تجزیه و تحلیل فنی - بازارهای مالی - سیستم های پویا - شاخص های فنی متعدد
پیش نمایش مقاله
پیش نمایش مقاله افزایش عملکرد استراتژی های معاملاتی با استفاده از شاخص VIX همراه با یک بهینه ساز محاسبات تکاملی دوهدفه

چکیده انگلیسی

In this study a Multi-Objective Evolutionary System is used to predict the future tendency of assets price. Therefore, a framework using a Multi-Objective Genetic Algorithm (GA) in its core to optimize a set of Trading or Investment Strategies (TSs) was developed. The investigated framework is used to determine potential buy, sell or hold conditions in stock markets, aiming to yield high returns at a minimal risk. The Volatility Index (VIX), indicators based on the VIX and other Technical Indicators (TI) are optimized to find the best investment strategy. Additionally, fair and established metrics are used to evaluate both the return and the linked risk of the optimized TSs. Furthermore, these strategies are evaluated in several markets using data from the main stock indexes of the most developed economies, such as: NASDAQ, S&P 500, FTSE 100, DAX 30, and also NIKKEI 225. The achieved results clearly outperform both the Buy&Hold and Sell&Hold. Additionally, the Pareto-Fronts obtained with the training data during the experiments clearly show the inherent trade-off between risk and return in financial. In this paper the option of using an adaptive approach was chosen, which led to the development of a framework able to operate continuously and with minimal human intervention. To sum up, the developed framework is able to evolve a set of TSs suitable for the diverse profiles of investors from the most risky to the most careful with interesting results, which suggests great potential in the framework generalization capabilities. The use of the VIX enables the system to increase the stock return compared to traditional Technical Indicators by avoiding losses when the stress in the stock market increases. The GA enables the system to adapt to different types of markets. The algorithm achieves a return of higher than 10% annual for the period of 2006–2014 in the NASDAQ and DAX indexes, in a period that includes the stock market crash of 2008.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.