An Intelligent Model for Pairs Trading Using Genetic Algorithms
Joint Authors
Chang, Bao Rong
Huang, Chien-Feng
Hsu, Chi-Jen
Chen, Chi-Chung
Li, Chen-An
Source
Computational Intelligence and Neuroscience
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-08-03
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
Pairs trading is an important and challenging research area in computational finance, in which pairs of stocks are bought and sold in pair combinations for arbitrage opportunities.
Traditional methods that solve this set of problems mostly rely on statistical methods such as regression.
In contrast to the statistical approaches, recent advances in computational intelligence (CI) are leading to promising opportunities for solving problems in the financial applications more effectively.
In this paper, we present a novel methodology for pairs trading using genetic algorithms (GA).
Our results showed that the GA-based models are able to significantly outperform the benchmark and our proposed method is capable of generating robust models to tackle the dynamic characteristics in the financial application studied.
Based upon the promising results obtained, we expect this GA-based method to advance the research in computational intelligence for finance and provide an effective solution to pairs trading for investment in practice.
American Psychological Association (APA)
Huang, Chien-Feng& Hsu, Chi-Jen& Chen, Chi-Chung& Chang, Bao Rong& Li, Chen-An. 2015. An Intelligent Model for Pairs Trading Using Genetic Algorithms. Computational Intelligence and Neuroscience،Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1057785
Modern Language Association (MLA)
Huang, Chien-Feng…[et al.]. An Intelligent Model for Pairs Trading Using Genetic Algorithms. Computational Intelligence and Neuroscience No. 2015 (2015), pp.1-10.
https://search.emarefa.net/detail/BIM-1057785
American Medical Association (AMA)
Huang, Chien-Feng& Hsu, Chi-Jen& Chen, Chi-Chung& Chang, Bao Rong& Li, Chen-An. An Intelligent Model for Pairs Trading Using Genetic Algorithms. Computational Intelligence and Neuroscience. 2015. Vol. 2015, no. 2015, pp.1-10.
https://search.emarefa.net/detail/BIM-1057785
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1057785