Trend following in financial time series with multi-objective optimization.
Jingyuan LiuYain-Whar SiDefu ZhangLigang ZhouPublished in: Appl. Soft Comput. (2018)
Keyphrases
- multi objective optimization
- financial time series
- turning points
- multi objective
- evolutionary algorithm
- stock market
- financial time series forecasting
- financial data
- non stationary
- differential evolution
- stock exchange
- genetic algorithm
- nsga ii
- exchange rate
- pareto optimal
- multiple objectives
- multi objective optimization problems
- bi objective
- stock price
- multi objective evolutionary algorithms
- multivariate time series
- optimization problems
- multi objective genetic algorithms
- pareto optimal set
- feature space
- pareto frontier
- neural network
- short term
- data mining