Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

The development of hybrid intelligent systems for technical analysis based equivolume charting

This dissertation proposes the development of a hybrid intelligent system applied to technical analysis based equivolume charting for stock trading. A Neuro-Fuzzy based Genetic Algorithms (NF-GA) system of the Volume Adjusted Moving Average (VAMA) membership functions is introduced to evaluate the effectiveness of using a hybrid intelligent system that integrates neural networks, fuzzy logic, and genetic algorithms techniques for increasing the efficiency of technical analysis based equivolume charting for trading stocks --Introduction, page 1

Architecting system of systems: artificial life analysis of financial market behavior

This research study focuses on developing a framework that can be utilized by system architects to understand the emergent behavior of system architectures. The objective is to design a framework that is modular and flexible in providing different ways of modeling sub-systems of System of Systems. At the same time, the framework should capture the adaptive behavior of the system since evolution is one of the key characteristics of System of Systems. Another objective is to design the framework so that humans can be incorporated into the analysis. The framework should help system architects understand the behavior as well as promoters or inhibitors of change in human systems. Computational intelligence tools have been successfully used in analysis of Complex Adaptive Systems. Since a System of Systems is a collection of Complex Adaptive Systems, a framework utilizing combination of these tools can be developed. Financial markets are selected to demonstrate the various architectures developed from the analysis framework --Introduction, page 3

A Bi-Layer Multi-Objective Techno-Economical Optimization Model for Optimal Integration of Distributed Energy Resources into Smart/Micro Grids

The energy management system is executed in microgrids for optimal integration of distributed energy resources (DERs) into the power distribution grids. To this end, various strategies have been more focused on cost reduction, whereas effectively both economic and technical indices/factors have to be considered simultaneously. Therefore, in this paper, a two-layer optimization model is proposed to minimize the operation costs, voltage fluctuations, and power losses of smart microgrids. In the outer-layer, the size and capacity of DERs including renewable energy sources (RES), electric vehicles (EV) charging stations and energy storage systems (ESS), are obtained simultaneously. The inner-layer corresponds to the scheduled operation of EVs and ESSs using an integrated coordination model (ICM). The ICM is a fuzzy interface that has been adopted to address the multi-objectivity of the cost function developed based on hourly demand response, state of charges of EVs and ESS, and electricity price. Demand response is implemented in the ICM to investigate the effect of time-of-use electricity prices on optimal energy management. To solve the optimization problem and load-flow equations, hybrid genetic algorithm (GA)-particle swarm optimization (PSO) and backward-forward sweep algorithms are deployed, respectively. One-day simulation results confirm that the proposed model can reduce the power loss, voltage fluctuations and electricity supply cost by 51%, 40.77%, and 55.21%, respectively, which can considerably improve power system stability and energy efficiency.</jats:p