Radiotekhnika
Publishing house Radiotekhnika

"Publishing house Radiotekhnika":
scientific and technical literature.
Books and journals of publishing houses: IPRZHR, RS-PRESS, SCIENCE-PRESS


Тел.: +7 (495) 625-9241

 

Neural networks application in the investment strategies optimization

Keywords:

V.U. Arkov, A.M. Shamsieva


In this paper, the problem of the hybrid optimization of the portfolio management strategy is considered based on the technical analysis principles. The comparative analysis of obtained results and the evaluation of the statistical stability (robustness) of the strategy algorithm are carried out. The results of the artificial networks and genetic algorithms optimization are suggested for the algorithm structure of the investment strategy. The robustness is proposed as the additional criterion of the strategy efficiency. This criterion is a quantitative measure of variation for efficiency indicators of the investment strategy.
References:
  1. Bestens D., Van den Berg V., Vud D. Nejjronnye seti i finansovye rynki. M.: TVP. 1997.
  2. Mustapha Djennas, Mohamed Benbouziane, Meriem Djennas. A neural network and genetic algorithm hybrid model for modeling exchange rate: the dollar – Kuwaiti dinar case // International Research Journal of Finance and Economics. 2012. № 92. P. 141-162.
  3. Kulikov G.G., Arkov V.JU., Abdulnagimov A.I. Perspektivy nejjrosetevojj nastrojjki procedury spektralnogo analiza pri identifikacii dinamicheskikh modelejj // Nejjrokompjutery: razrabotka, primenenie. 2007. № 10.  S. 42-46.
  4. Rutkovskaja D., Pilnskijj M., Rutkovskijj L. Nejjronnye seti, geneticheskie algoritmy i nechetkie sistemy.  M.: Telekom, 2008. 
  5. Pardo R. Razrabotka, testirovanie, optimizacija torgovykh sistem dlja birzhevogo trejjdera. M.: Minaks. 2002.
  6. Arkov V.JU., SHamsieva A.M. K voprosu ob ustojjchivosti algoritmicheskojj torgovojj sistemy //Finansovaja analitika: problemy i reshenija. 2011. № 29 (71). C. 22-27.

© Издательство «РАДИОТЕХНИКА», 2004-2017            Тел.: (495) 625-9241                   Designed by [SWAP]Studio