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

DOI10.1007/S10287-024-00506-1MaRDI QIDQ6538809FDOQ6538809

Authors: Marco Corazza, Claudio Pizzi, Andrea Marchioni 

Publication date: 14 May 2024

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

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zbMATH Keywords

particle swarm optimizationtrading systemsignal aggregationItalian stock marketindicator settingtrading rule definition

Mathematics Subject Classification ID

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

Cites Work

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

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