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A parallel evolutionary algorithm for technical market indicators optimization

dc.contributor.authorbodas, Diego
dc.contributor.authorFernández, Pablo
dc.contributor.authorHidalgo, José Ignacio
dc.contributor.authorSoltero, Francisco José
dc.date.accessioned2024-01-31T09:30:49Z
dc.date.available2024-01-31T09:30:49Z
dc.date.issued2012-09-28
dc.identifier.citationTY - JOUR AU - Bodas-Sagi, Diego José AU - Fernández-Blanco, Pablo AU - Hidalgo, José Ignacio AU - Soltero-Domingo, Francisco José PY - 2013 DA - 2013/06/01 TI - A parallel evolutionary algorithm for technical market indicators optimization JO - Natural Computing SP - 195 EP - 207 VL - 12 IS - 2 AB - This paper deals with the optimization of parameters of technical indicators for stock market investment. Price prediction is a problem of great complexity and, usually, some technical indicators are used to predict market trends. The main difficulty in using technical indicators lies in deciding a set of parameter values. We proposed the use of Multi-Objective Evolutionary Algorithms (MOEAs) to obtain the best parameter values belonging to a collection of indicators that will help in the buying and selling of shares. The experimental results indicate that our MOEA offers a solution to the problem by obtaining results that improve those obtained through technical indicators with standard parameters. In order to reduce execution time is necessary to parallelize the executions. Parallelization results show that distributing the workload of indicators in multiple processors to improve performance is recommended. This parallelization has been performed taking advantage of the idle time in a corporate technology infrastructure. We have configured a small parallel grid using the students Labs of a Computer Science University College. SN - 1572-9796 UR - https://doi.org/10.1007/s11047-012-9347-4 DO - 10.1007/s11047-012-9347-4 ID - Bodas-Sagi2013 ER -es
dc.identifier.issn1567-7818
dc.identifier.urihttps://hdl.handle.net/10115/29328
dc.description.abstractThis paper deals with the optimization of parameters of technical indicators for stock market investment. Price prediction is a problem of great complexity and, usually, some technical indicators are used to predict market trends. The main difficulty in using technical indicators lies in deciding a set of parameter values. We proposed the use of Multi-Objective Evolutionary Algorithms (MOEAs) to obtain the best parameter values belonging to a collection of indicators that will help in the buying and selling of shares. The experimental results indicate that our MOEA offers a solution to the problem by obtaining results that improve those obtained through technical indicators with standard parameters. In order to reduce execution time is necessary to parallelize the executions. Parallelization results show that distributing the workload of indicators in multiple processors to improve performance is recommended. This parallelization has been performed taking advantage of the idle time in a corporate technology infrastructure. We have configured a small parallel grid using the students Labs of a Computer Science University College.es
dc.language.isoenges
dc.publisherNatural Computinges
dc.subjectAlgoritmos evolutivos, optimización, indicadores bursátileses
dc.titleA parallel evolutionary algorithm for technical market indicators optimizationes
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doi10.1007/s11047-012-9347-4es
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccesses


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