Authors: Laura Nunez-Letamendia, Joaquin Pacheco, Silvia Casado
Addresses: Department of Finance, IE Business School, C/ Castellon de la Plana, 8, 28006, Madrid, Spain. ' Department of Applied Economics, University of Burgos, Plaza Infanta Elena s/n Burgos 09001, Spain. ' Department of Applied Economics, University of Burgos, Plaza Infanta Elena s/n Burgos 09001, Spain
Abstract: Genetic algorithms (GAs) can be applied to a wide range of problems in the field of finance. The purpose of this paper is to make GAs accessible to practitioners, academicians and students who are interested in financial markets. By describing a simple application consisting in tuning a technical trading system for the Dow Jones we illustrate step by step how the reader can implement its own trading system with the help of the powerful tool, the GA. To show how this technique can easily be extended to other type of applications in the financial domain, some examples are brought up at the end of the paper.
Keywords: evolutionary computation; genetic algorithms; GAs; Dow Jones; trading systems; moving averages; support levels; resistance levels; financial markets; stock markets.
International Journal of Data Mining, Modelling and Management, 2011 Vol.3 No.4, pp.319 - 340
Published online: 26 Feb 2015 *Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article