Actionable stock portfolio mining by using genetic algorithms
學年 105
學期 1
出版(發表)日期 2016-11-01
作品名稱 Actionable stock portfolio mining by using genetic algorithms
作品名稱(其他語言)
著者 C. H. Chen; C. Y. Hsieh
單位
出版者
著錄名稱、卷期、頁數 Journal of Information Science and Engineering 32(6), p.1657-1678
摘要 Financial markets have many financial instruments and derivatives, including stocks, futures, and options. Investors thus have many choices when creating a portfolio. For stock portfolio selection, many approaches that focus on optimizing the weights of assets using evolutionary algorithms have been proposed. Since investors may have various requests, an approach that takes these requests into consideration is needed. Based on the domain-driven data mining concept, this paper proposes a domain-driven stock portfolio optimization approach that can satisfy an investor's requests for mining an actionable stock portfolio. A set of stocks are first encoded into a chromosome. Two real numbers that represent whether to buy a stock and the number of purchased units, respectively, are utilized to represent each stock. In the fitness evaluation, each chromosome is evaluated in terms of the investor's objective and subjective interestingness. Objective interestingness includes return on investment and value at risk. Subjective interestingness contains a portfolio penalty and an investment capital penalty, which reflect the satisfactions of the investor's requests. Experiments on real datasets are conducted to show the effectiveness of the proposed approach.
關鍵字 data mining;domain-driven data mining;genetic algorithms;minimum transaction lots;stock portfolio optimization
語言 en
ISSN 1016-2364
期刊性質 國內
收錄於 SCI
產學合作
通訊作者
審稿制度
國別 TWN
公開徵稿
出版型式 ,紙本
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/112495 )