Home » Algorithmic Trading » Strategy Replication – Evolutionary Optimization based on Financial Sentiment Data

Strategy Replication – Evolutionary Optimization based on Financial Sentiment Data

Mintegration with this interesting post on Evolutionary Optimization applied to Portfolio Management :

STRATEGY REPLICATION – EVOLUTIONARY OPTIMIZATION BASED ON FINANCIAL SENTIMENT DATA

mintegration blog

Wow, I enjoyed replicating this neatly written paper by Ronald Hochreiter.
Ronald is an Assistant Professor at the Vienna University of Economics and Business (Institute for Statistics and Mathematics).

In his paper he applies evolutionary optimization techniques to compute optimal rule-based trading strategies based on financial sentiment data.

The evolutionary technique is a general Genetic Algorithm (GA).

The GA is a mathematical optimization algorithm drawing inspiration from the processes of biological evolutionto breed solutions to problems. Each member of the population (genotype) encodes a solution (phenotype) to the problem. Evolution in the population of encodings is simulated by means of evolutionary processes; selection, crossover and

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