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BUDÍK, J. DOSKOČIL, R.
Originální název
Soft computing as a tool to optimize an investment portfolio
Typ
článek v časopise - ostatní, Jost
Jazyk
angličtina
Originální abstrakt
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.
Klíčová slova
Optimization, soft computing, Adaptrade, genetic algorithms, investment portfolio
Autoři
BUDÍK, J.; DOSKOČIL, R.
Rok RIV
2011
Vydáno
7. 10. 2011
Nakladatel
Mykolas Romeris University
Místo
Vilnius, Litva
ISSN
1822-8011
Periodikum
Intellectual Economics
Ročník
5
Číslo
3
Stát
Litevská republika
Strany od
359
Strany do
370
Strany počet
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" }