Genetic Algorithm Optimisation for Finance and Investment
AbstractThis paper provides an introduction to the use of genetic algo- rithms for financial optimisation. The aim is to give the reader a basic understanding of the computational aspects of these algorithms and how they can be applied to decision making in finance and investment. Genetic algorithms are especially suitable for complex problems char- actised by large solution spaces, multiple optima, non differentiability of the objective function, and other irregular features. The mechanics of constructing and using a genetic algorithm for optimisation are illustrated through a simple example.
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Bibliographic InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 2000.02.
Length: 29 pages
Date of creation: Feb 2000
Date of revision:
Optimization; Financial Market; Investments EDIRC Provider-Institution: RePEc:edi:smlatau;
Other versions of this item:
- Robert Pereira, 2000. "Genetic Algorithm Optimisation for Finance and Investment," Working Papers 2000.02, School of Economics, La Trobe University.
- Pereira, Robert, 2000. "Genetic Algorithm Optimisation for Finance and Investments," MPRA Paper 8610, University Library of Munich, Germany.
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G0 - Financial Economics - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Sinha, Pankaj & Chandwani, Abhishek & Sinha, Tanmay, 2013. "Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm," MPRA Paper 48204, University Library of Munich, Germany.
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