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arXiv 2211.02451cs.NE
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协同多目标进化算法在寻找更好的Pareto前沿。交易系统的应用

Collaborative Multiobjective Evolutionary Algorithms in search of better Pareto Fronts. An application to trading systems

Francisco J. Soltero, Pablo Fernández-Blanco, J. Ignacio Hidalgo

摘要:

技术指标通过将各种数学公式应用于价格的金融时间序列,使用数据集的图形表示。这些公式包括一组规则和参数,其值不一定是已知的,并取决于许多因素:它所处的市场,时间窗口的大小等。本文主要研究时间序列数据分析中参数的实时优化问题。特别是,我们优化了技术和财务指标的参数,并提出了其他应用,如葡萄糖时间序列。我们提出了几个多目标进化算法(MOEAs)的组合。与其他方法不同,本文采用了一组不同的MOEA,合作构建一个全球帕累托集的解决方案。金融问题的解决方案寻求以最小的风险获得高回报。优化过程是连续的,并且以与投资时间间隔相同的频率发生。这种技术允许应用的非支配的解决方案,同时获得不同的MOEA。实验结果表明,该技术提高了常用的买入持有策略和其他多目标策略的收益,即使是日常操作。

英文摘要:

Technical indicators use graphic representations of data sets by applying various mathematical formulas to financial time series of prices. These formulas comprise a set of rules and parameters whose values are not necessarily known and depend on many factors: the market in which it operates, the size of the time window, and others. This paper focuses on the real-time optimization of the parameters applied for analyzing time series of data. In particular, we optimize the parameters of technical and financial indicators and propose other applications, such as glucose time series. We propose the combination of several Multi-objective Evolutionary Algorithms (MOEAs). Unlike other approaches, this paper applies a set of different MOEAs, collaborating to construct a global Pareto Set of solutions. Solutions for financial problems seek high returns with minimal risk. The optimization process is continuous and occurs at the same frequency as the investment time interval. This technique permits the application of non-dominated solutions obtained with different MOEAs simultaneously. Experimental results show that this technique increases the returns of the commonly used Buy \& Hold strategy and other multi-objective strategies, even for daily operations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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