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Publication detail
BUDÍK, J. DOSKOČIL, R.
Original Title
Soft computing as a tool to optimize an investment portfolio
Type
journal article - other
Language
English
Original Abstract
The paper describes the creation and application of an investment portfolio. Main aim of the paper is to perform statistical analysis of selected financial instruments and to find a connection between the input data. Authors use application Adaptrade from the Adaptrade software company which is based on genetic algorithms basis and is able to process this difficult task in real time. The case analysis is performed for three world currencies - U. S. dollar, Canadian dollar and Swiss franc. Statistical analysis was performed specifically on the currency couple USD: CAD and USD:CHF. The input data consists of time series, which records the progress of prices of the financial instruments with a period of 15 minutes continuously from Monday 00:00 to Friday 23:00 for the period 2.1.2009 – 14.3.2011.
Keywords
Optimization, soft computing, Adaptrade, genetic algorithms, investment portfolio
Authors
BUDÍK, J.; DOSKOČIL, R.
RIV year
2011
Released
7. 10. 2011
Publisher
Mykolas Romeris University
Location
Vilnius, Litva
ISBN
1822-8011
Periodical
Intellectual Economics
Year of study
5
Number
3
State
Republic of Lithuania
Pages from
359
Pages to
370
Pages count
11
BibTex
@article{BUT74962, author="Jan {Budík} and Radek {Doskočil}", title="Soft computing as a tool to optimize an investment portfolio", journal="Intellectual Economics", year="2011", volume="5", number="3", pages="359--370", issn="1822-8011" }