350 rub
Journal Neurocomputers №3 for 2013 г.
Article in number:
Neural networks application in the investment strategies optimization
Keywords: artificial neural networks optimization genetic algorithms investment strategy robustness efficiency indicators
Authors:
V.U. Arkov, A.M. Shamsieva
Abstract:
In this paper, the problem of the hybrid optimization of the portfolio management strategy is considered based on the technical analysis principles. The comparative analysis of obtained results and the evaluation of the statistical stability (robustness) of the strategy algorithm are carried out. The results of the artificial networks and genetic algorithms optimization are suggested for the algorithm structure of the investment strategy. The robustness is proposed as the additional criterion of the strategy efficiency. This criterion is a quantitative measure of variation for efficiency indicators of the investment strategy.
Pages: 63-67
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