RT Journal Article
T1 A meta-grammatical evolutionary process for portfolio selection and trading
A1 Contreras, Iván
A1 Hidalgo Pérez, José Ignacio
A1 Nuñez-Letamendía, Laura
A1 Velasco Cabo, José Manuel
AB This study presents the implementation of an automated trading system that uses three critical analyses to determine time-decisions and portfolios for investment. The approach is based on a meta-grammatical evolution methodology that combines technical, fundamental and macroeconomic analysis on a hybrid top-down paradigm. First, the method provides a low-risk portfolio by analyzing countries and industries. Next, aiming to focus on the most robust companies, the system filters the portfolio by analyzing their economic variables. Finally, the system analyzes prices and volumes to optimize investment decisions during a given period. System validation involves a series of experiments in the European financial markets, which are reflected with a data set of over nine hundred companies. The final solutions have been compared with static strategies and other evolutionary implementations and the results show the effectiveness of the proposal.
PB Springer
YR 2017
FD 2017-04-17
LK https://hdl.handle.net/20.500.14352/117413
UL https://hdl.handle.net/20.500.14352/117413
LA eng
NO Contreras, I., Hidalgo, J.I., Nuñez-Letamendía, L. et al. A meta-grammatical evolutionary process for portfolio selection and trading. Genet Program Evolvable Mach 18, 411–431 (2017). https://doi.org/10.1007/s10710-017-9304-1
NO Ministerio de Ciencia, Innovación y Universidades(España)
NO Unión Europea
NO Agencia per a la Competitivitat de L’Empresa
DS Docta Complutense
RD 9 abr 2025