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

Author

Listed:
  • Laura Nuñez

    (Instituto de Empresa)

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....

Suggested Citation

  • Laura Nuñez, 2002. "An Analysis Of The Robustness Of Genetic Algorithm (ga) Methodology In The Design Of Trading System," Working Papers Economia wp02-24, Instituto de Empresa, Area of Economic Environment.
    • Handle: RePEc:emp:wpaper:wp02-24
    as

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    File URL: http://latienda.ie.edu/working_papers_economia/WP02-24.pdf
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