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Genetic Algorithm Optimisation for Finance and Investment

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Author Info

  • Robert Pereira

    ()
    (Department of Economics and Finance, La Trobe University)

Abstract

This 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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File URL: http://www.latrobe.edu.au/__data/assets/pdf_file/0006/130857/2000.02.pdf
File Function: First version, 2000.02.pdf
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Bibliographic Info

Paper provided by School of Economics, La Trobe University in its series Working Papers with number 2000.02.

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Length: 29 pages
Date of creation: Feb 2000
Date of revision:
Handle: RePEc:ltr:wpaper:2000.02

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Web page: http://www.latrobe.edu.au/economics
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Related research

Keywords: Optimization; Financial Market; Investments EDIRC Provider-Institution: RePEc:edi:smlatau;

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  1. L. Ingber, 1989. "Very fast simulated re-annealing," Lester Ingber Papers 89vf, Lester Ingber.
  2. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
  3. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
  4. Dorsey, Robert E & Mayer, Walter J, 1995. "Genetic Algorithms for Estimation Problems with Multiple Optima, Nondifferentiability, and Other Irregular Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 53-66, January.
  5. L. Ingber, 1996. "Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading," Lester Ingber Papers 96nf, Lester Ingber.
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Cited by:
  1. sefiane, slimane & Benbouziane, Mohamed, 2012. "Portfolio Selection Using Genetic Algorithm," MPRA Paper 41783, University Library of Munich, Germany.
  2. 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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