Cart (Loading....) | Create Account
Close category search window
 

Multi-agent system based portfolio management in prior-to-crisis and crisis period

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

3 Author(s)
Raudys, S. ; Fac. of Math. & Inf., Vilnius Univ., Vilnius, Lithuania ; Raudys, A. ; Pabarskaite, Z.

We analyze portfolio creation techniques in a high frequency trading domain and randomly changing environments. We aim to create the best risk/reward portfolio based on thousands of profit histories of automated trading robots. We show that the effectiveness of standard portfolio weight calculation rules depends on the dimensionality, N, and the sample size, L, ratio. To resolve dimensionality / sample size dilemma we suggest designing a multistage feed-forward multi-agent system (MAS). At first we make simple 1/N Portfolio based expert agents. Then we use them and the regularized mean-variance framework to form a large number of more complex fusion agents. Finally we use a trained cost sensitive set of perceptrons to recognize the most successful fusion agents for making a final 1/N Portfolio based weights calculation. Experiments with 7708-dimensional 2004-2012 data confirm the effectiveness of the new approach.

Published in:

Intelligent Systems Design and Applications (ISDA), 2012 12th International Conference on

Date of Conference:

27-29 Nov. 2012

Need Help?


IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.