Mining group stock portfolio by using grouping genetic algorithms
學年 103
學期 2
發表日期 2015-05-25
作品名稱 Mining group stock portfolio by using grouping genetic algorithms
作品名稱（其他語言）
著者 C. H. Chen; C. B. Lin; C. C. Chen
作品所屬單位
出版者
會議名稱 The IEEE Congress on Evolutionary Computation
會議地點
摘要 In this paper, a grouping genetic algorithm based approach is proposed for dividing stocks into groups and mining a set of stock portfolios, namely group stock portfolio. Each chromosome consists of three parts. Grouping and stock parts are used to indicate how to divide stocks into groups. Stock portfolio part is used to represent the purchased stocks and their purchased units. The fitness of each chromosome is evaluated by the group balance and the portfolio satisfaction. The group balance is utilized to make the groups represented by the chromosome have as similar number of stocks as possible. The portfolio satisfaction is used to evaluate the goodness of profits and satisfaction of investor's requests of all possible portfolio combinations that can generate from a chromosome. Experiments on a real data were also made to show the effectiveness of the proposed approach.
關鍵字 data mining;genetic algorithms;grouping genetic algorithms;grouping problems;stock portfolio optimization
語言 en
收錄於
會議性質 國際
校內研討會地點 無
研討會時間 20150525~20150528
通訊作者
國別 JPN
公開徵稿
出版型式
出處 Evolutionary Computation (CEC), 2015 IEEE, pp.738-743
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106403 )