A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through particle swarm optimization

DOI10.1007/S10287-024-00506-1MaRDI QIDQ6538809zbMATH OpenFDO

Authors Marco Corazza, Claudio Pizzi, Andrea Marchioni

Publication date 14 May 2024

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10287-024-00506-1

zbMATH Keywords

indicator settingItalian stock marketparticle swarm optimizationsignal aggregationtrading rule definitiontrading system

Mathematics Subject Classification ID

Operations research and management science (90Bxx) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Financial markets (91G15)

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Cites work

• A mathematical analysis of technical analysis
• An evolutionary approach to improve a simple trading system
• Evolving technical trading rules for spot foreign-exchange markets using grammatical evolution
• Metaheuristics: A bibliography
• Optimal trend following trading rules
• Particle swarm optimization with non-smooth penalty reformulation, for a complex portfolio selection problem
• Recent approaches to global optimization problems through particle Swarm optimization
• Technical trading and cryptocurrencies
• Trend following with momentum versus moving averages: a tale of differences

Cited in

(1)

• PSO for the Sharpe ratio in a financial trading system based on technical analysis

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