Study on stock trading and portfolio optimization using genetic network programming

制度:新 ; 報告番号:甲3002号 ; 学位の種類:博士(工学) ; 授与年月日: 2010/3/15 ; 早大学位記番号:新525

Adaptive Statistical Evaluation Tools for Equity Ranking Models

A major challenge in the investment management business is to identify which stocks are likely to outperform in the future, and which are likely to perform relatively poorly. To this end the strategy adopted by Genus is to identify factors (auxiliary information about the stock such as earnings-to-price ratio or dividend yield) that they believe are associated with future out-performance (i.e. factors that have predictive ability). The best of these factors are then combined (Genus use a weighted average) into a model which is used to rank the universe of stocks month-by-month. This ranking is then used to as the input to a trading strategy, resulting in a modified portfolio. Genus had provided us with sample data, consisting of just over 12 years worth of monthly returns on a universe of 60 stocks, along with time series of 34 factors for each of the stocks. Using these data, the approach was to build software (MATLAB) models for: 1. ranking the stocks based on factor information; 2. implementing a trading strategy based on a stock ranking and assessing the performance of a given trading strategy by looking at measures such as hit ratio, information ratio and spread. The IPSW team implemented a simplified trading strategy of selling the entire portfolio each month, and using the proceeds to invest equally in the top 20% of stocks as given by the computed ranking. They also implemented the following measures of portfolio performance: excess return, hit ratio and information ratio

Modeling Financial Time Series with Artificial Neural Networks

Financial time series convey the decisions and actions of a population of human actors over time. Econometric and regressive models have been developed in the past decades for analyzing these time series. More recently, biologically inspired artificial neural network models have been shown to overcome some of the main challenges of traditional techniques by better exploiting the non-linear, non-stationary, and oscillatory nature of noisy, chaotic human interactions. This review paper explores the options, benefits, and weaknesses of the various forms of artificial neural networks as compared with regression techniques in the field of financial time series analysis.CELEST, a National Science Foundation Science of Learning Center (SBE-0354378); SyNAPSE program of the Defense Advanced Research Project Agency (HR001109-03-0001

Simultaneous structuring and scheduling of multiple projects with flexible project structures

We study the problem to simultaneously decide on the structures and the schedules for an entire portfolio of flexible projects. The projects are flexible as alternative technologies and procedures can be used to achieve the respective project task. The choice between different technologies and procedures affects the activities to be implemented and thus the precedence relations, i.e., the structure of the project. The different projects have given due dates with specific delay payments and compete for scarce resources. In this situation, project structure decisions and scheduling decisions are highly intertwined and have to be made simultaneously in order to achieve the assumed objective of minimizing the delay payments for the entire project portfolio. The problem is formally stated and solved via novel and problem-specific genetic algorithms. The performance of the new algorithms is evaluated with respect to speed and accuracy in a systematic and comprehensive numerical study. © 2020, The Author(s)