Mintegration with this interesting post on Evolutionary Optimization applied to Portfolio Management :
STRATEGY REPLICATION – EVOLUTIONARY OPTIMIZATION BASED ON FINANCIAL SENTIMENT DATA
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.
- Title: Computing trading strategies based on financial sentiment data using evolutionary optimization
- Author: Ronald Hochreiter
- Book: Mendel 2015, Recent Advances in Soft Computing,
The series “Advances in Intelligent Systems and Computing”, Volume 378 2015, Springer
- Sources: doi: http://dx.doi.org/10.1007/978-3-319-19824-8_15
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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