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Computational Intelligence for Evolving Trading Rules

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5 Author(s)
Ghandar, A. ; Sch. of Comput. Sci., Univ. of Adelaide, Adelaide, SA ; Michalewicz, Z. ; Schmidt, M. ; Thuy-Duong To
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This paper describes an adaptive computational intelligence system for learning trading rules. The trading rules are represented using a fuzzy logic rule base, and using an artificial evolutionary process the system learns to form rules that can perform well in dynamic market conditions. A comprehensive analysis of the results of applying the system for portfolio construction using portfolio evaluation tools widely accepted by both the financial industry and academia is provided.

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Evolutionary Computation, IEEE Transactions on  (Volume:13 ,  Issue: 1 )