SIMULATION OF PARTICLE SWARM OPTIMIZATION FOR INVESTMENTS ON STOCK MARKET
SIMULATION OF PARTICLE SWARM OPTIMIZATION FOR INVESTMENTS ON STOCK MARKET
Author(s): Maciej Janowicz, Andrzej ZembrzuskiSubject(s): Economy, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: particle swarm optimization; stock market;
Summary/Abstract: This work reports simulations performed using Particle Swarm Optimization (PSO) as applied to investments on the stock market. About 480 stocks belonging to the S&P500 index have been taken into account. A naive approach has been developed in which one simulation step corresponded to one trading period. As a second ingredient of the investment strategy, the relative strength of an asset has been employed. The results are analyzed with respect to the parameters of PSO.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XXI/2020
- Issue No: 4
- Page Range: 235-241
- Page Count: 7
- Language: English