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Stock timing using genetic algorithms
Author(s) -
Korczak J.,
Roger P.
Publication year - 2002
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.457
Subject(s) - stock (firearms) , computer science , trading strategy , stock market , econometrics , set (abstract data type) , simple (philosophy) , genetic algorithm , economics , financial economics , algorithm , machine learning , engineering , mechanical engineering , paleontology , philosophy , epistemology , horse , biology , programming language
In this paper, a genetic algorithm to search a set of technical trading rules which gives buying and selling advices about individual stocks is proposed. This approach is tested out of a sample of 24 French stocks among the most important stocks traded on the French market. We show that in most cases, the method outperforms a simple buy and hold strategy. However, we also illustrate the fact that the near‐optimal set of rules varies through time and across stocks. Copyright © 2002 John Wiley & Sons, Ltd.